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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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Bibliographic Info

Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 16 (1998)
Issue (Month): 1 (January)
Pages: 91-123

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Handle: RePEc:kap:jrefec:v:16:y:1998:i:1:p:91-123

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Web page: http://www.springerlink.com/link.asp?id=102945

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  1. Ratner, Mitchell, 1992. "Portfolio diversification and the inter-temporal stability of international stock indices," Global Finance Journal, Elsevier, vol. 3(1), pages 67-77.
  2. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  3. 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.
  4. 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.
  5. 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 301-20, July.
  6. Liu, Crocker H, et al, 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-82, September.
  7. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  8. Glassman, Debra A. & Riddick, Leigh A., 1994. "International diversification: New evidence on market segmentation," International Review of Economics & Finance, Elsevier, vol. 3(1), pages 73-92.
  9. 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.
  10. Carmelo Giaccotto & John Clapp, 1992. "Appraisal-Based Real Estate Returns under Alternative Market Regimes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(1), pages 1-24.
  11. John Okunev & Pat Wilson, 1995. "Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets," Working Paper Series 47, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. 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.
  13. 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 401-18, December.
  14. Errunza, Vihang & Losq, Etienne, 1985. " International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-24, March.
  15. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  16. Alan J. Ziobrowski & Richard Curcio, 1991. "Diversification Benefits of U.S. Real Estate to Foreign Investors," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 119-142.
  17. Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485.
  18. Wheatley, Simon, 1988. "Some tests of international equity integration," Journal of Financial Economics, Elsevier, vol. 21(2), pages 177-212, September.
  19. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  20. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  21. Kaplanis, Evi & Schaefer, Stephen M., 1991. "Exchange risk and international diversification in bond and equity portfolios," Journal of Economics and Business, Elsevier, vol. 43(4), pages 287-307, November.
  22. David Geltner, 1990. "Return Risk and Cash Flow Risk with Long-term Riskless Leases in Commercial Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 377-402.
  23. 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.
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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. 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 181-92, April.

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