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Dynamic relationship between stock and property markets

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Author Info

  • Kim Hiang Liow

Abstract

This paper investigates the long-run and short term relationships between stock and property markets. Focus is on the combined and relative impacts of a real estate system that comprises residential and office property prices on general stock market prices. Using Autoregressive Distributed Lag (ARDL) cointegration procedure, a long-run contemporaneous relationship is found between the stock and property prices. Additionally, both the long-run and short-term influences of the combined residential and office property prices on the stock market prices weakened after controlling for changes in the macroeconomic influences. Whilst the stock market prices are largely influenced by the office property prices in the long run; the residential property prices impact stronger on the stock market prices in the short-term. Thus the combined perspective has significant implications in mixed asset allocation that includes stock and property investments.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500390885
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 5 ()
Pages: 371-376

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Handle: RePEc:taf:apfiec:v:16:y:2006:i:5:p:371-376

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Web page: http://www.tandfonline.com/RAFE20

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Web: http://www.tandfonline.com/pricing/journal/RAFE20

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Cited by:
  1. Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
  2. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 201365, University of Pretoria, Department of Economics.
  3. Anita CEH CASNI & Maruska VIZEK, 2014. "Interactions between Real Estate and Equity Markets: an Investigation of Linkages in Developed and Emerging Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 100-119, March.

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