论文标题：Relationship between the United States housing and stock markets: Some evidence from wavelet analysis

　　发表时间：2019

　　论文所有作者：Kim Hiang Liow, Yuting Huang,  Jeonseop Song

　　期刊名及所属分类：The North American Journal of Economics and Finance(国际C)

　　英文摘要：We revisit the relationship between the United States housing and stock markets in time-frequency domain. Earlier research does not have satisfactory results on the interactions between the two markets because traditional methods average different relationships in time domain only. Our novel and informative wavelet-based multi-resolution analyzes indicate that the US housing and stock markets are at best moderately integrated and with scale-dependent co-movement, connectivity and causality. The interplay between the US housing and stock markets is stronger in the long run, with the two asset markets being bilaterally causally linked and have stronger return and volatility transmission effects. Finally, we demonstrate that the decomposition of the relationship between the real estate and stock markets over the different scales has important implications in studying the optimal portfolio weight and the hedge ratio in risk management.

　　中文摘要：我们将在时频域重新讨论美国住房市场和股票市场之间的关系。由于传统的研究方法只是在时域内对不同的关系进行平均，因此对两个市场之间的相互作用并没有令人满意的结果。我们新颖的基于小波的多分辨率分析表明，美国住房和股票市场最好是适度整合，并具有规模依赖的协同运动、连接性和因果关系。长期来看，美国住房市场和股票市场之间的相互作用更强，这两个资产市场具有双边因果关系，具有更强的回报和波动传导效应。最后，我们证明了房地产市场和股票市场在不同尺度上的关系分解对于研究风险管理中的最优投资组合权重和套期保值比率具有重要的意义。