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In this study we present an alterntive approach to test whether the real estate and equity 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...
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ERES:conference
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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...
Persistent link: https://www.econbiz.de/10012790934
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...
Persistent link: https://www.econbiz.de/10012790980
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...
Persistent link: https://www.econbiz.de/10012787876
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...
Persistent link: https://www.econbiz.de/10004984603