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Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets

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  • Wilson, Patrick James
  • Okunev, John
  • Webb, James J

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  • Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January.
    • Handle: RePEc:kap:jrefec:v:16:y:1998:i:1:p:91-123
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    7. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
    8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    9. Patrick J. Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst International Real Estate and Financial Asset Markets," ERES eres1995_187, European Real Estate Society (ERES).
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    12. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    13. Youguo Liang & Willard McIntosh & James R. Webb, 1995. "Intertemporal Changes in the Riskiness of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 427-444.
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    18. Liu, Crocker H & Mei, Jianping, 1992. "The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 401-418, December.
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    21. Brent W. Ambrose & Esther Ancel & Mark D. Griffiths, 1992. "The Fractal Structure of Real Estate Investment Trust Returns: The Search for Evidence of Market Segmentation and Nonlinear Dependency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 25-54, March.
    22. M. Wayne Marr & John L. Trimble & Raj Varma, 1991. "On the Integration of International Capital Markets: Evidence From Euroequity Offerings," Financial Management, Financial Management Association, vol. 20(4), Winter.
    23. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    25. Terence Khoo & David Hartzell & Martin Hoesli, 1993. "An Investigation of the Change in Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 107-130, June.
    26. Wheatley, Simon, 1988. "Some tests of international equity integration," Journal of Financial Economics, Elsevier, vol. 21(2), pages 177-212, September.
    27. Mike Miles & Rebel Cole & David Guilkey, 1990. "A Different Look at Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 403-430, December.
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    Cited by:

    1. Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach," Working Papers 201436, University of Pretoria, Department of Economics.
    2. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
    3. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
    4. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
    5. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-192, April.
    6. Kim Hiang Liow, 2006. "Dynamic relationship between stock and property markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 371-376.
    7. Jian Yang & Yinggang Zhou & Wai Leung, 2012. "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 491-521, August.
    8. Kim Hiang Liow, 2000. "The dynamics of the Singapore commercial property market," Journal of Property Research, Taylor & Francis Journals, vol. 17(4), pages 279-291.

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