New article on Co-integration of housing prices and property stock prices: evidence from the Swedish market

A new article by Zan Yang in Journal of Property Research

2005 Co-integration of housing prices and property stock prices: evidence from the Swedish market, Journal of Property Research, Vol 22, Number 1, pp. 1-17.

Abstract

The long run linkages between Swedish housing prices and property stock prices are investigated with the consideration that rental control system applied in Sweden could deviate asset prices from the suggested co-integration. To confirm the degree of equilibrium, Error Correction Model with exogenous variables and the effect of the tax reform in 1991 are examined. Roles of rentals on the behavior of asset prices are also presented. This study confirms the existence of long-term equilibrium between asset prices and indicates a semi-strong efficiency of asset market. Furthermore, this study also suggests the effects of rentals on improving speed to the long-term equilibrium.

Keywords: Housing prices, property stock prices, rental control, co-integration