Show simple item record

AuthorAl Refai, Hisham
AuthorEissa, Mohamad Abdelaziz
AuthorZeitun, Rami
Available date2023-01-17T06:57:07Z
Publication Date2021
Publication NameJournal of Economic Asymmetries
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.jeca.2021.e00200
URIhttp://hdl.handle.net/10576/38490
AbstractIn 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. 2021 Elsevier B.V.
Languageen
PublisherElsevier
SubjectCredit effect
Enders and Siklos (2001)
Nonlinear ARDL
Nonlinear cointegration
Real estate
Stock market
Wealth effect
TitleThe dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar
TypeArticle
Volume Number23
dc.accessType Open Access


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record