The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar
<p dir="ltr">In this study, we investigate the dynamic linkages between the real estate and stock markets in Qatar. Using monthly data over the period 2006–2020, the nonlinear model of Enders and Siklos (2001) and the linear and nonlinear Autoregressive Distributed Lag (ARDL) models,...
محفوظ في:
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| مؤلفون آخرون: | , |
| منشور في: |
2021
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| الموضوعات: | |
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إضافة وسم
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| _version_ | 1864513543648313344 |
|---|---|
| author | Hisham Al Refai (17316898) |
| author2 | Mohamad Abdelaziz Eissa (17316901) Rami Zeitun (17075215) |
| author2_role | author author |
| author_facet | Hisham Al Refai (17316898) Mohamad Abdelaziz Eissa (17316901) Rami Zeitun (17075215) |
| author_role | author |
| dc.creator.none.fl_str_mv | Hisham Al Refai (17316898) Mohamad Abdelaziz Eissa (17316901) Rami Zeitun (17075215) |
| dc.date.none.fl_str_mv | 2021-06-01T00:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.jeca.2021.e00200 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/The_dynamics_of_the_relationship_between_real_estate_and_stock_markets_in_an_energy-based_economy_The_case_of_Qatar/24474583 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Commerce, management, tourism and services Banking, finance and investment Commercial services Economics Applied economics Econometrics Real estate Stock market Wealth effect Credit effect Enders and Siklos (2001) Nonlinear cointegration Nonlinear ARDL |
| dc.title.none.fl_str_mv | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p dir="ltr">In this study, we investigate the dynamic linkages between the real estate and stock markets in Qatar. Using monthly data over the period 2006–2020, the nonlinear model of Enders and Siklos (2001) and the linear and nonlinear Autoregressive Distributed Lag (ARDL) models, our investigation seeks to trace the channel of transmission between the two markets outlined by two well-known theories: namely, the effects of wealth and of credit. The results show that the model of Enders and Siklos (2001) does not explain the dynamics of the relationship between the two markets. The linear ARDL provides some evidence to support the wealth effect but the model is mis-specified. The results from the nonlinear ARDL model support to the effect of wealth and provide evidence on the dynamic linkages between the two markets in the short run as well as the long run. In addition, when money supply, bank credit, oil prices, and currency reserves are in a downturn, we find a long-run relationship between their rate of decline and that of real estate prices, but in an upturn, the rate of increase of real estate prices has a long-run relationship with the rate of increase in the inflation rate. Our results show that the nonlinear ARDL model passes a battery of rigorous tests of robustness. The implications of the empirical results are also discussed.</p><h2>Other Information</h2><p dir="ltr">Published in: The Journal of Economic Asymmetries<br>License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.jeca.2021.e00200" target="_blank">https://dx.doi.org/10.1016/j.jeca.2021.e00200</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_a9c30970283047209d90aee6102d9ada |
| identifier_str_mv | 10.1016/j.jeca.2021.e00200 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/24474583 |
| publishDate | 2021 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of QatarHisham Al Refai (17316898)Mohamad Abdelaziz Eissa (17316901)Rami Zeitun (17075215)Commerce, management, tourism and servicesBanking, finance and investmentCommercial servicesEconomicsApplied economicsEconometricsReal estateStock marketWealth effectCredit effectEnders and Siklos (2001)Nonlinear cointegrationNonlinear ARDL<p dir="ltr">In this study, we investigate the dynamic linkages between the real estate and stock markets in Qatar. Using monthly data over the period 2006–2020, the nonlinear model of Enders and Siklos (2001) and the linear and nonlinear Autoregressive Distributed Lag (ARDL) models, our investigation seeks to trace the channel of transmission between the two markets outlined by two well-known theories: namely, the effects of wealth and of credit. The results show that the model of Enders and Siklos (2001) does not explain the dynamics of the relationship between the two markets. The linear ARDL provides some evidence to support the wealth effect but the model is mis-specified. The results from the nonlinear ARDL model support to the effect of wealth and provide evidence on the dynamic linkages between the two markets in the short run as well as the long run. In addition, when money supply, bank credit, oil prices, and currency reserves are in a downturn, we find a long-run relationship between their rate of decline and that of real estate prices, but in an upturn, the rate of increase of real estate prices has a long-run relationship with the rate of increase in the inflation rate. Our results show that the nonlinear ARDL model passes a battery of rigorous tests of robustness. The implications of the empirical results are also discussed.</p><h2>Other Information</h2><p dir="ltr">Published in: The Journal of Economic Asymmetries<br>License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.jeca.2021.e00200" target="_blank">https://dx.doi.org/10.1016/j.jeca.2021.e00200</a></p>2021-06-01T00:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.jeca.2021.e00200https://figshare.com/articles/journal_contribution/The_dynamics_of_the_relationship_between_real_estate_and_stock_markets_in_an_energy-based_economy_The_case_of_Qatar/24474583CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/244745832021-06-01T00:00:00Z |
| spellingShingle | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar Hisham Al Refai (17316898) Commerce, management, tourism and services Banking, finance and investment Commercial services Economics Applied economics Econometrics Real estate Stock market Wealth effect Credit effect Enders and Siklos (2001) Nonlinear cointegration Nonlinear ARDL |
| status_str | publishedVersion |
| title | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| title_full | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| title_fullStr | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| title_full_unstemmed | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| title_short | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| title_sort | The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar |
| topic | Commerce, management, tourism and services Banking, finance and investment Commercial services Economics Applied economics Econometrics Real estate Stock market Wealth effect Credit effect Enders and Siklos (2001) Nonlinear cointegration Nonlinear ARDL |