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J. Risk Financial Manag. 2018, 11(2), 21; https://doi.org/10.3390/jrfm11020021

Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets

Shinsei Bank, Limited, 4-3, Nihonbashi-muromachi 2-chome, Chuo-ku, Tokyo 103-8303, Japan
Received: 24 March 2018 / Revised: 6 April 2018 / Accepted: 6 April 2018 / Published: 26 April 2018
(This article belongs to the Special Issue Empirical Finance)
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Abstract

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing market to the stock market in the UK, this paper discovered a two-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing market to the stock market. View Full-Text
Keywords: causality-in-variance; cross-correlation function; housing and stock markets causality-in-variance; cross-correlation function; housing and stock markets
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
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Toyoshima, Y. Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. J. Risk Financial Manag. 2018, 11, 21.

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