Data from Polytechnic of Porto Advance Knowledge in Risk Management (Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR): Insurance – Risk Management

2023 AUG 10 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Current study results on risk management have been published. According to news originating from the Polytechnic of Porto by NewsRx correspondents, research stated, “Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted.”

Our news journalists obtained a quote from the research from Polytechnic of Porto: “Indeed, stock and house prices are influenced by economic activity and react non-linearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and SPX indices and the European STOXX and FTSE indices. The results suggest a long-term equilibrium relationship with asymmetric adjustments between the housing market and the US stock markets, as well as between the DJIA, SPX, and FTSE indices. Moreover, the wealth effect is stronger when stock prices outperform house prices above an estimated threshold.”

According to the news reporters, the research concluded: “This empirical evidence is useful to portfolio managers in their search for non-perfectly related markets that allow investment diversification and control risk exposure across different assets.”

For more information on this research see: Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR. Risks, 2023,11(124):124. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks11070124.

Our news editors report that additional information may be obtained by contacting Pedro Coelho, ISCAP, Polytechnic of Porto, 4465-004 S. Mamede de Infesta, Portugal. Additional authors for this research include Luis Gomes, Patricia Ramos.

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