The integration of direct real estate and stock markets in Asia

Lin, P.-T. ORCID: https://orcid.org/0000-0003-2745-0119 and Fuerst, F. (2014) The integration of direct real estate and stock markets in Asia. Applied Economics, 46 (12). pp. 1323-1334. ISSN 1466-4283 doi: 10.1080/00036846.2013.872763

Abstract/Summary

Currently, there exists relatively little research investigating the long-term association between stock and direct real estate markets. Using appropriate transaction-based property indices, this study focuses on the relationship between stock and direct real estate markets in nine Asian countries from the period 1980 to 2012 through both linear and nonlinear cointegration techniques. We find empirical evidence of linear cointegration of stock and property markets in Taiwan, fractional cointegration in Singapore and Hong Kong and no evidence of cointegration in China, Japan, Thailand, Malaysia, Indonesia and South Korea. It is concluded that segmentation of property markets from stock markets does not appear to be linked to the differences in the maturity of national financial markets and that the differing degrees of integration across Asia may instead be reflective of a range of factors impacting upon the underlying economic structures in each country.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/73054
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	Taylor & Francis
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