We apply Pedroni panel cointegration and dynamic ordinary least square (DOLS) to analyse the association between Asian house and stock prices. Applying time series and panel estimation simultaneously, our results suggest a positive and significant effect of stock prices on house prices except for Korea, where we found a negative relationship. More directly, stock markets are integrated with real estate markets in all selected economies except Korea. Further, the positive effects of house prices

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... on stock prices are in support of the wealth effect hypothesis, which indicates that house prices have a positive