Housing and Stock Market Returns: An Application of GARCH Enhanced VECM (original) (raw)

2008

Abstract

This paper examines the relationship between housing and stock market returns for the United States using the cointegration analysis and the GARCH enhanced VECM. The results suggest that the two series are cointegrated. The results from the GARCH enhanced VECM indicate the presence of spillover effect from the stock market to the housing market but not vice versa. Taken together,

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