This paper studies the relationship between residential property prices and macroeconomic and demographic determinants in Malaysia. In the years following the Asian financial crisis, property prices in Malaysia rose substantially, resulting in an affordability crisis and ultimately policy...

This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional...

This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional...

This study of the co-movements of the transaction prices and trading volumes reveal that the mean correlation of prices, and trading volumes alike, among different housing sub-markets increases during the market boom. After a financial crisis, the correlations drop dramatically and stay low. The...

Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the...

A general equilibrium model, that incorporates endogenous production and local housing markets, is developed in order to explain the price relationship among human capital, housing, and stocks, and to uncover the role of housing in asset pricing. Housing serves as an asset as well as a durable...

A general equilibrium model, that incorporates endogenous production and local housing markets, is developed in order to explain the price relationship among human capital, housing, and stocks, and to uncover the role of housing in asset pricing. Housing serves as an asset as well as a durable...

This paper studies excess market returns in the relatively understudied nancial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM; and...