Dynamics of Causality between Real Estate and Stock Prices: Evidence from Türkiye

Abstract

This paper aims to examine the causal relationship between real estate and stock prices in Türkiye over the 2010-2023 period and uncover whether the wealth effect or the credit price effect has been dominant. This study investigates the association between real estate prices and stock prices in Türkiye using both linear and non-linear ARDL cointegration models. A recently developed non-linear ARDL technique by Shin, Yu, and Greenwood-Nimmo (2014) is employed to investigate possible asymmetric relationships between real estate and stock prices. Linear ARDL bounds test results indicate strong evidence of wealth effect for Türkiye. The findings of the non-linear ARDL technique reveal that there is a strong asymmetric association between real estate and stock prices in Türkiye and there is evidence of the existence of both wealth and credit price effects. The asymmetric association is more dominant in the credit price effect model. The findings of the study will help both investors and policymakers to establish effective policies for developing portfolios considering the asymmetric associations and provide a better understanding of the driving forces behind real estate prices.

Keywords

• Real Estate Prices
• Stock Prices
• Asymmetric Relationship
• Nonlinear ARDL Models

Gayrimenkul ve Hisse Senedi Fiyatları Arasındaki Nedenselliğin Dinamikleri: Türkiye'den Kanıtlar

Abstract

Bu makale, 2010-2023 döneminde Türkiye'deki gayrimenkul ve hisse senedi fiyatları arasındaki nedensellik ilişkisini incelemeyi ve servet etkisinin mi yoksa kredi fiyatı etkisinin mi baskın olduğunu ortaya çıkarmayı amaçlamaktadır. Çalışmada Türkiye’de gayrimenkul ve hisse senedi fiyatları arasındaki ilişki doğrusal ve doğrusal olmayan ARDL eş bütünleşme modelleri kullanılarak incelenmektedir. Bu çalışmada, gayrimenkul ve hisse senedi fiyatları arasındaki olası asimetrik ilişkileri araştırmak için Shin, Yu ve Greenwood-Nimmo (2014) tarafından yakın zamanda geliştirilen doğrusal olmayan bir ARDL tekniği kullanılmaktadır. Doğrusal ARLD sınır testi sonuçları Türkiye için servet etkisine dair güçlü kanıtlar sunmaktadır. Çalışmanın bulguları, Türkiye’de gayrimenkul ve hisse senedi fiyatları arasında güçlü asimetrik bir ilişki olduğunu ve hem servet hem de kredi fiyatı etkilerinin varlığını ortaya koymaktadır. Asimetrik ilişki kredi fiyatı modelinde daha baskındır. Çalışmanın bulguları hem yatırımcıların hem de politika yapıcıların asimetrik ilişkileri göz önünde bulundurarak portföy geliştirmeye yönelik etkili politikalar oluşturmasına ve gayrimenkul fiyatlarının arkasındaki itici güçlerin daha iyi anlaşılmasına yardımcı olacaktır.

Keywords

• Gayrimenkul Fiyatları
• Hisse Senedi Fiyatları
• Asimetrik İlişki
• Doğrusal Olmayan ARDL Modelleri

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