Market integration implies the existence of some long run equilibrium relationship between/amongst markets in such a way that the movements in one market are transmitted to movements in the other/s. It is an interesting observation of much of the literature regarding a possible relationship...

In this study we present an alternative approach to test whether the real estate and stock markets are cointegrated. We develop a nonlinear test which allows for a stochastic trend term as opposed to a deterministic drift term. This is a reasonable approach, because if the real estate market is...

This paper examines the dynamic relationship that exists between the US real estate and Samp;P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear casuality tests. The results from these tests provide a number of interesting observations...

Land and land ownership has been a controversial subject ever since the creation of man. In both South Africa and Australia recent developments regarding land ownership rights have generated added uncertainty in the business community, both domestic and international. This uncertainty is having...

As the globalization of world financial markets continues unabated the issue of benefits arising from international diversification becomes increasingly important. Due to the fixed geographical nature of the underlying product, securitized property might be considered immune from the effects of...

Many asset pricing models require an annualised risk coefficient which is determined by the linear rescaling of the variance from other time intervals. However, this approach may not be appropriate for dependent time series. This paper investigates the scaling relationships for daily credit...

Asset returns conforming to a Gaussian random walk are characterised by the temporal independence of the moments of the distribution. Employing currency returns, this note demonstrates the conditions that are necessary for risk to be estimated in this manner

An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence. Design/methodology/approach – The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign...