House Price, Stock price, and Dependence in Indonesia and Malaysia: Evidence from Wavelet-based Quantile-on-Quantile Regressions

Abstract: We used the wavelet-based quantile-on-quantile regressions to examine the empirical validity the relationship among Malaysia and Indonesia’s house price and stock price. We reveal that, first, the wealth effect prevails both in Malaysia and Indonesia. Secondly, the stock and house price of both countries may have a negative relationship in the medium and short-term, which means that the impact of stock market on house market is asymmetric. Finally, on the aspect of method theory, we combine wavelet transform with the QQ method, which is meaningful to study the non-linear correlation of time series in this issue. Keywords: House Price, Stock Price, Malaysia, Indonesia, Quantile-on-Quantile Regressions JEL Classification Number: C22, G11, G15, R3