<abstract xmlns="http://www.w3.org/1999/xhtml">The integration of financial markets is an ongoing process throughout the world. Research shows that, from Australia through Europe to the United States, the capital and real estate markets are integrating, influencing each other. Although this process seems obvious, only research can show whether it actually occurs. Identifying these relationships is important for analyzing the entire market. Many methods, such as estimating the cost of equity, have been developed with the stock market in mind. Meanwhile, real estate valuation requires the cost of equity. Market integration is the rationale for using equity market methods on the real estate market.Aim of the work - the research is aimed at verifying whether there is cointegration between the secondary housing market and the stock market. A research hypothesis was put forward: the stock market and secondary housing market are integrated.Research methodology - the study used co-integration analysis using the Engle-Granger test. The study was conducted in the period from the third quarter of 2006 to the fourth quarter of 2018.Result - The tests carried out showed the existence of co-integration in one out of 36 cases for the explanatory variable - the delayed WIG index and the explained variable in the average price of residential real estate on the secondary market for the 7 largest Polish cities.Originality / Value - demonstrating the co-integration of markets justifies the use of analytical methods developed for stock markets on real estate markets. The research has no equivalent study on the Polish market. Similar analyses were carried out, but not for the stock and real estate market.</abstract>

The integration of financial markets is an ongoing process throughout the world. Research shows that, from Australia through Europe to the United States, the capital and real estate markets are integrating, influencing each other. Although this process seems obvious, only research can show whether it actually occurs. Identifying these relationships is important for analyzing the entire market. Many methods, such as estimating the cost of equity, have been developed with the stock market in mind. Meanwhile, real estate valuation requires the cost of equity. Market integration is the rationale for using equity market methods on the real estate market.Aim of the work - the research is aimed at verifying whether there is cointegration between the secondary housing market and the stock market. A research hypothesis was put forward: the stock market and secondary housing market are integrated.Research methodology - the study used co-integration analysis using the Engle-Granger test. The study was conducted in the period from the third quarter of 2006 to the fourth quarter of 2018.Result - The tests carried out showed the existence of co-integration in one out of 36 cases for the explanatory variable - the delayed WIG index and the explained variable in the average price of residential real estate on the secondary market for the 7 largest Polish cities.Originality / Value - demonstrating the co-integration of markets justifies the use of analytical methods developed for stock markets on real estate markets. The research has no equivalent study on the Polish market. Similar analyses were carried out, but not for the stock and real estate market.

Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices

Faculty of Capital Market and Investments

Real Estate Management and Valuation

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The integration of financial markets is an ongoing process throughout the world. Research shows that, from Australia through Europe to the United States, the...

Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices

Published Online: Mar 12, 2020

Page range: 100 - 111

DOI: https://doi.org/10.1515/remav-2020-0009

Keywords
real estate market, stock market, co-integration test of stock and real estate, relationship between stock and real estate

© 2020 Rafal Wolski, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices

Published Online: Mar 12, 2020

Page range: 100 - 111

DOI: https://doi.org/10.1515/remav-2020-0009

Keywordsreal estate market, stock market, co-integration test of stock and real estate, relationship between stock and real estate

© 2020 Rafal Wolski, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
real estate market, stock market, co-integration test of stock and real estate, relationship between stock and real estate