Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR
Abstract
:1. Introduction
2. Cointegration
2.1. Cointegration in Financial Markets
2.2. Cointegration in Housing Market
3. Research Results and Discussion
4. Research Methodology
4.1. Sample, Data and Hypothesis
4.2. Linear Cointegration Analysis
4.3. Threshold Cointegration Analysis
4.4. Asymmetric Error Correction Model with Threshold Cointegration
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
References
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Statistics | Freddie Mac | DJIA | SPX | FTSE | STOXX |
---|---|---|---|---|---|
Mean | 23.624 | 11,244.93 | 1287.64 | 5090.34 | 2570.72 |
Std. Deviation | 25.348 | 6581.62 | 736.25 | 1580.65 | 986.25 |
Minimum | 0.225 | 2293.62 | 294.87 | 1990.20 | 807.74 |
Maximum | 72.990 | 28,538.44 | 3363.00 | 7687.77 | 5059.11 |
Skewness | 0.656 | 0.7817 | 0.8175 | −0.3929 | −0.0730 |
Kurtosis | −1.275 | 0.040 | 0.097 | −1.007 | −0.461 |
Indexes | ADF | PP | KPSS |
---|---|---|---|
p-Value | p-Value | Test-Statistic Value | |
Freddie Mac | 0.597 | 0.5937 | 1.0925 *** |
DJIA | 0.5661 [5] | 0.4887 [4] | 2.3051 [4] *** |
SPX | 0.5007 [5] | 0.5221 [4] | 2.2070 [4] *** |
FTSE | 0.4757 [5] | 0.5013 [4] | 1.8786 [4] *** |
STOXX | 0.6464 [5] | 0.6533 [4] | 1.3059 [4] *** |
Panel A—Results of Linear Cointegration Tests: Values of Test Statistics | |||||||||||
Index Pairs | None | Drift | Trend | ||||||||
Freddie/DJIA | −1.740 | −1.735 | 1.520 | −1.974 | 1.411 | 2.101 | |||||
Freddie/SPX | −1.710 | −1.705 | 1.465 | −1.964 | 1.382 | 2.063 | |||||
SPX/FTSE | 0.645 | 0.715 | 0.764 | −0.194 | 2.157 | 2.710 | |||||
SPX/STOXX | 0.795 | 0.873 | 1.411 | −0.827 | 2.536 | 2.743 | |||||
DJIA/FTSE | −0.314 | −0.271 | 0.399 | −1.211 | 1.771 | 2.284 | |||||
DJIA/STOXX | 0.043 | 0.088 | 0.717 | −1.449 | 1.986 | 2.246 | |||||
Panel B—Statistical Tests: Critical Values for Test Statistics | |||||||||||
None | Drift | Trend | |||||||||
1% | 5% | 10% | 1% | 5% | 10% | 1% | 5% | 10% | |||
−2.58 | −1.95 | −1.62 | −3.46 | −2.88 | −2.57 | −3.99 | −3.43 | −3.13 | |||
6.52 | 4.63 | 3.81 | 6.22 | 4.75 | 4.07 | ||||||
8.43 | 6.49 | 5.47 |
Panel A | ||||||||
Freddie/DJIA | Freddie/SPX | |||||||
Item | TAR | Consistent TAR | MTAR | Consistent MTAR | TAR | Consistent TAR | MTAR | Consistent MTAR |
Lag | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
Threshold | 0 | 0.421 | 0 | 0.065 | 0 | −1.09 | 0 | 0.187 |
(coef+) | −0.001 | 0.009 | −0.022 | −0.054 ** | −0.016 | −0.005 | −0.025 | 0.049 |
statistic value | (−0.046) | (0.379) | (−1.318) | (−1.988) | (−0.559) | (−0.187) | (−0.855) | (0.860) |
(coef−) | −0.030 * | −0.032 * | −0.011 | −0.006 | −0.054. | −0.071 * | −0.046. | −0.049 * |
statistic value | (−1.671) | (−1.905) | (−0.430) | (−0.342) | (−1.892) | (−2.371) | (−1.551) | (−2.210) |
AIC | −229.744 | −230.688 | −228.853 | −231.070 | 116.660 | 114.866 | 117.329 | 115.057 |
BIC | −212.871 | −213.815 | −211.980 | −214.197 | 133.533 | 131.739 | 134.202 | 131.930 |
QLB (LB test_4) | 0.997 | 0.999 | 0.987 | 0.986 | 0.619 | 0.742 | 0.638 | 0.395 |
QLB (LB test_8) | 0.796 | 0.823 | 0.758 | 0.624 | 0.771 | 0.761 | 0.815 | 0.661 |
QLB (LB test_12) | 0.732 | 0.748 | 0.686 | 0.658 | 0.911 | 0.889 | 0.943 | 0.894 |
H0: no CI | 1.404 | 1.870 | 0.969 | 2.059 | 1.932 | 2.827 | 1.601 | 2.731 |
p-value | 0.250 | 0.159 | 0.383 | 0.132 | 0.150 | 0.063 | 0.206 | 0.069 |
H0: SAP | 0.975 | 1.891 | 0.116 | 2.264 | 0.914 | 2.6610 | 0.269 | 2.474 |
p-value | 0.326 | 0.172 | 0.734 | 0.135 | 0.341 | 0.106 | 0.605 | 0.118 |
Panel B | ||||||||
SPX/FTSE | SPX/STOXX | |||||||
Lag | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
Threshold | 0 | −0.136 | 0 | 0.004 | 0 | −0.143 | 0 | −0.037 |
(coef+) | 0.105 | 0.104 * | 0.084 | 0.094 | 0.038 | 0.040 | 0.003 | 0.007 |
statistic value | (1.879) | (2.033) | (1.588) | (1.782) | (1.802) | (1.947) | (0.165) | (0.409) |
(coef-) | −0.088 | −0.134 * | −0.095 | −0.106 | −0.031 | −0.04 | 0.019 | 0.036 |
statistic value | (−1.537) | (−2.149) | (−1.52) | (−1.73) | (−1.269) | (−1.579) | (0.707) | (0.647) |
AIC | −299.651 | −302.832 | −298.448 | −299.971 | −359.686 | −361.218 | −354.981 | −355.02 |
BIC | −282.778 | −285.959 | −281.574 | −283.098 | −342.813 | −344.345 | −338.108 | −338.147 |
QLB (LB test_4) | 0.995 | 0.995 | 0.951 | 0.934 | 0.961 | 0.956 | 0.962 | 0.951 |
QLB (LB test_8) | 0.994 | 0.993 | 0.979 | 0.971 | 0.791 | 0.821 | 0.732 | 0.743 |
QLB (LB test_12) | 1.000 | 0.998 | 0.999 | 0.998 | 0.609 | 0.613 | 0.527 | 0.545 |
H0: no CI | 3.373 | 5.007 | 2.766 | 3.536 | 2.568 | 3.340 | 0.257 | 0.276 |
p-value | 0.038 * | 0.008 ** | 0.067 | 0.032 * | 0.081 | 0.039 * | 0.7736 | 0.759 |
H0: SAP | 6.674 | 9.941 | 5.461 | 7.000 | 4.828 | 6.368 | 0.219 | 0.256 |
p-value | 0.011 * | 0.002 ** | 0.021 * | 0.009 ** | 0.030 * | 0.013 * | 0.641 | 0.614 |
Panel C | ||||||||
DJIA/FTSE | DJIA/STOXX | |||||||
Lag | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
Threshold | 0 | 0.159 | 0 | −0.009 | 0 | −0.124 | 0 | −0.002 |
(coef+) | 0.032 | 0.061 | 0.025 | 0.032 | 0.022 | 0.025 | −0.019 | −0.02 |
statistic value | (0.561) | (1.03) | (0.518) | (0.683) | (0.987) | (1.111) | (−0.927) | (−0.992) |
(coef−) | −0.084 | −0.094 | −0.128 * | −0.162 * | −0.038 | −0.043 | 0.022 | 0.027 |
statistic value | (−1.593) | (−1.877) | (−2.057) | (−2.475) | (−1.564) | (−1.737) | (0.772) | (0.916) |
AIC | −267.038 | −269.068 | −268.754 | −270.962 | −326.23 | −327.1 | −324.112 | −324.505 |
BIC | −250.165 | −252.195 | −251.881 | −254.089 | −309.357 | −310.227 | −307.239 | −307.632 |
QLB (LB test_4) | 0.999 | 0.997 | 0.961 | 0.968 | 0.999 | 0.999 | 0.999 | 0.998 |
QLB (LB test_8) | 0.977 | 0.987 | 0.955 | 0.94 | 0.812 | 0.802 | 0.697 | 0.668 |
QLB (LB test_12) | 0.995 | 0.998 | 0.992 | 0.991 | 0.724 | 0.727 | 0.607 | 0.585 |
H0: no CI | 1.536 | 2.544 | 2.387 | 3.499 | 1.789 | 2.221 | 0.751 | 0.943 |
p-value | 0.2194 | 0.083 | 0.096 | 0.033 * | 0.172 | 0.113 | 0.474 | 0.393 |
H0: SAP | 2.483 | 4.488 | 4.176 | 6.389 | 3.480 | 4.343 | 1.406 | 1.788 |
p-value | 0.118 | 0.036 * | 0.043 * | 0.013 * | 0.065. | 0.039 * | 0.238 | 0.184 |
Panel A | ||||||||
Freddie/DJIA | Freddie/SPX | |||||||
Item | DJIA.est | DJIA.t | Freddie.est | Freddie.t | SPX.est | SPX.t | Freddie.est | Freddie.t |
(Intercept) | 0.012 | 0.552 | 0.023 | 0.251 | −0.002 | −0.082 | 0.026 | 0.297 |
0.02 | 0.088 | 2.551 * | 2.584 | 0.137 | 0.615 | 2.046 * | 2.220 | |
0.374 | 1.674 | −0.131 | −0.135 | 0.594 ** | 2.665 | 0.421 | 0.457 | |
0.185 | 0.812 | −0.148 | −0.15 | 0.092 | 0.416 | −0.306 | −0.334 | |
−0.331 | −1.601 | −0.713 | −0.791 | −0.256 | −1.236 | −0.675 | −0.788 | |
−0.401 * | −2.266 | 1.686 * | 2.186 | −0.335 | −1.846 | 1.943 * | 2.594 | |
−0.311 | −1.583 | 0.141 | 0.165 | −0.362 | −1.823 | −0.547 | −0.668 | |
0.058 | 0.267 | 0.278 | 0.295 | 0.259 | 1.23 | 0.891 | 1.025 | |
0.263 | 1.213 | −0.129 | −0.137 | 0.121 | 0.573 | −0.618 | −0.709 | |
−0.013 | −0.301 | −0.087 | −0.456 | −0.036 | −0.800 | −0.086 | −0.468 | |
0.011 | 0.268 | 0.016 | 0.089 | 0.024 | 0.573 | 0.014 | 0.079 | |
0.014 | 0.344 | −0.094 | −0.532 | 0.014 | 0.331 | −0.084 | −0.486 | |
−0.010 | −0.250 | 0.027 | 0.152 | 0.006 | 0.141 | 0.022 | 0.129 | |
0.074 * | 2.362 | 0.356 ** | 2.610 | 0.065 | 1.942 | 0.356 * | 2.583 | |
0.010 | 0.315 | −0.149 | −1.056 | 0.006 | 0.169 | −0.109 | −0.762 | |
0.001 | 0.039 | 0.352 * | 2.468 | −0.004 | −0.122 | 0.338 * | 2.366 | |
0.002 | 0.056 | −0.258 | −1.825 | 0.018 | 0.534 | −0.245 | −1.760 | |
0.005 | 0.340 | −0.010 | −0.163 | 0.000 | −0.026 | 0.014 | 0.233 | |
−0.012 * | −2.102 | −0.034 | −1.421 | −0.011 | −1.911 | −0.036 | −1.526 | |
= 0 for all lags | 1.591 | [0.14] | 3.276 ** | [0.00] | 1.563 | [0.14] | 3.652 ** | [0.00] |
= 0 for all lags | 0.844 | [0.57] | 1.602 | [0.13] | 0.684 | [0.7] | 1.564 | [0.14] |
Panel B | ||||||||
SPX/FTSE | SPX/STOXX | |||||||
Item | FTSE.est | FTSE.t | SPX.est | SPX.t | STOXX.est | STOXX.t | SPX.est | SPX.t |
(Intercept) | −0.014 | −0.727 | −0.024 | −1.198 | −0.027 | −1.119 | −0.018 | −0.88 |
0.568 | 1.925 | 0.881 ** | 2.949 | 0.431 | 1.38 | 0.464 | 1.776 | |
−0.315 | −1.087 | −0.341 | −1.163 | −0.436 | −1.525 | −0.260 | −1.087 | |
−0.042 | −0.144 | 0.06 | 0.203 | 0.197 | 0.698 | 0.151 | 0.639 | |
0.432 | 1.49 | 0.114 | 0.388 | 0.092 | 0.327 | −0.046 | −0.192 | |
−0.904 ** | −2.628 | −0.829 * | −2.378 | −0.486 | −1.329 | −0.464 | −1.515 | |
0.333 | 0.996 | 0.252 | 0.744 | 0.054 | 0.147 | −0.073 | −0.236 | |
0.345 | 0.987 | 0.181 | 0.511 | 0.278 | 0.772 | 0.234 | 0.776 | |
−0.608 | −1.702 | −0.496 | −1.371 | 0.244 | 0.679 | 0.298 | 0.991 | |
−0.225 | −0.809 | −0.261 | −0.925 | −0.121 | −0.352 | −0.162 | −0.562 | |
0.534 | 1.952 | 0.784 ** | 2.827 | 0.817 * | 2.388 | 0.808 ** | 2.818 | |
0.04 | 0.146 | 0.111 | 0.402 | 0.082 | 0.238 | 0.056 | 0.195 | |
−0.399 | −1.511 | −0.271 | −1.013 | −0.168 | −0.521 | −0.172 | −0.635 | |
0.665 | 1.918 | 0.442 | 1.26 | 0.336 | 0.763 | 0.216 | 0.586 | |
−0.320 | −0.966 | −0.435 | −1.293 | −0.119 | −0.264 | −0.195 | −0.516 | |
−0.266 | −0.793 | 0.033 | 0.097 | −0.218 | −0.477 | −0.060 | −0.158 | |
0.527 | 1.578 | 0.623 | 1.841 | −0.091 | −0.204 | −0.123 | −0.329 | |
−0.046 | −0.738 | 0.008 | 0.128 | 0.028 | 0.840 | 0.041 | 1.477 | |
0.134 | 1.791 | 0.122 | 1.619 | −0.025 | −0.219 | 0.055 | 0.563 | |
= 0 for all lags | 1.692 | [0.11] | 1.960 | [0.06] | 0.968 | [0.47] | 1.123 | [0.35] |
= 0 for all lags | 1.345 | [0.23] | 1.576 | [0.14] | 0.845 | [0.56] | 1.139 | [0.34] |
Panel C | ||||||||
DJIA/FTSE | DJIA/STOXX | |||||||
Item | FTSE.est | FTSE.t | DJIA.est | DJIA.t | STOXX.est | STOXX.t | DJIA.est | DJIA.t |
(Intercept) | −0.018 | −0.911 | −0.017 | −0.841 | −0.021 | −0.814 | −0.008 | −0.386 |
0.705 ** | 2.653 | 0.775 ** | 2.885 | 0.538 * | 2.114 | 0.351 | 1.675 | |
0.100 | 0.399 | 0.172 | 0.679 | −0.151 | −0.577 | 0.003 | 0.015 | |
0.126 | 0.505 | 0.159 | 0.631 | 0.233 | 0.921 | 0.165 | 0.794 | |
0.347 | 1.399 | 0.123 | 0.49 | 0.122 | 0.480 | 0.146 | 0.701 | |
−0.407 | −1.157 | −0.150 | −0.421 | 0.110 | 0.305 | 0.273 | 0.918 | |
0.659 | 1.868 | 0.210 | 0.588 | 0.077 | 0.214 | −0.209 | −0.706 | |
0.091 | 0.254 | −0.151 | −0.418 | −0.009 | −0.023 | −0.128 | −0.413 | |
−0.770 * | −2.181 | −0.608. | −1.705 | −0.127 | −0.327 | −0.006 | −0.018 | |
−0.343 | −1.375 | −0.308 | −1.224 | −0.295 | −0.913 | −0.126 | −0.473 | |
0.308 | 1.212 | 0.296 | 1.151 | 0.455 | 1.441 | 0.403 | 1.551 | |
0.006 | 0.022 | 0.104 | 0.412 | 0.107 | 0.337 | 0.083 | 0.317 | |
−0.430 | −1.781 | −0.357 | −1.463 | −0.268 | −0.880 | −0.388 | −1.545 | |
0.098 | 0.273 | −0.254 | −0.695 | −0.399 | −0.888 | −0.653 | −1.765 | |
−0.722 | −1.977 | −0.339 | −0.918 | −0.138 | −0.302 | 0.098 | 0.260 | |
−0.004 | −0.011 | 0.232 | 0.621 | 0.032 | 0.063 | 0.149 | 0.354 | |
0.926 * | 2.581 | 0.905 * | 2.495 | 0.444 | 0.871 | 0.341 | 0.811 | |
−0.007 | −0.145 | 0.029 | 0.587 | 0.035 | 1.021 | 0.019 | 0.658 | |
0.135 | 1.881 | 0.039 | 0.54 | 0.016 | 0.308 | 0.065 | 1.485 | |
= 0 for all lags | 1.870 | [0.07] | 1.295 | [0.25] | 0.780 | [0.62] | 0.691 | [0.70] |
= 0 for all lags | 1.799 | [0.09] | 1.402 | [0.20] | 0.711 | [0.68] | 1.158 | [0.33] |
Zone | Stock Market | Housing Market |
---|---|---|
US | DJIA SPX | Freddie Mac |
Europe | STOXX FTSE | – |
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Coelho, P.; Gomes, L.; Ramos, P. Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR. Risks 2023, 11, 124. https://doi.org/10.3390/risks11070124
Coelho P, Gomes L, Ramos P. Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR. Risks. 2023; 11(7):124. https://doi.org/10.3390/risks11070124
Chicago/Turabian StyleCoelho, Pedro, Luís Gomes, and Patrícia Ramos. 2023. "Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR" Risks 11, no. 7: 124. https://doi.org/10.3390/risks11070124