Objective: The aim of this research is to investigate the dynamic and nonlinear dependence between housing market fluctuations and the returns of construction companies on the Tehran Stock Exchange.
Materials and Methods: The data used include construction service returns, land price returns, inflation, exchange rate returns, stock index returns, industrial production returns, and rental returns in the period 1991 to 2023 using T-GARCH, Copula-GARCH, and DCC-GARCH.
Results: The results indicate the existence of strong and nonlinear dependencies between the returns of construction services and housing market variables, especially the returns of land prices and rents. The T-GARCH model showed a high fit (R-squared=0.969) and confirmed that past shocks have a significant impact on current fluctuations. The Copula-GARCH model confirmed the nonlinear dependencies with an average correlation coefficient of 0.31, while the rolling correlation analysis in the DCC-GARCH model indicated dynamic changes in dependencies in different economic periods. The Kendall-Tao correlations in boom (0.928) and recession (0.923) periods also showed a small but significant difference in the intensity of dependencies. The sensitivity analysis showed that changes in industrial production have a significant impact on the returns of construction services.
Conclusion: These findings are useful for investors and policymakers in risk management and setting economic policies in the Iranian housing market. |
