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Exploring the Relationship Between HousingPrices and Stock Prices
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.).
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.).
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This study investigates the long- and short-run relationship between stock- and housingprices in Finland, Denmark, Norway and Sweden between 1987-2017 and 1995-2017 with data from OECD statistics. By using interest rate as a control variable and Johansen's Test for Cointegration, the results show a significant relationship for Finland during the period 1995-2017. The short-run analysis implies a credit effect, which is inline with previous studies. However, in Denmark, Norway and Sweden the analysis show no sign of cointegration. A possible explanation for the insignificant results could be the high degree of policy implementations and changes to market structures in the early 1990s, which theoretically could be controlled for by including additional control variables in the analysis.

Place, publisher, year, edition, pages
2018. , p. 57
Series
TRITA-ITM-EX ; 2018:228
Keywords [en]
Housing Prices, Stock Prices, Cointegration, Credit Effect, Wealth Effect
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-236039OAI: oai:DiVA.org:kth-236039DiVA, id: diva2:1255461
Subject / course
Industrial Economics and Management
Educational program
Master of Science - Industrial Engineering and Management
Presentation
(English)
Supervisors
Examiners
Available from: 2018-10-12 Created: 2018-10-12 Last updated: 2018-10-12Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf