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Open AccessArticle

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

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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