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An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan

Author

Listed:
  • Tsangyao Chang

    (Department of Finance, Feng Chia University, Taichung, Taiwan)

  • Yu-Chen Wei

    (Department of Management of Science, National Chiao Tung University, Hsin-Chu, Taiwan)

  • Yang-Cheng Lu

    (Department of Finance, Ming Chuan University, Taipei, Taiwan)

Abstract

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and Porter-Hudak (1983). The results from both types of cointegration tests strongly indicate that these two markets are not cointegrated with each other. With respect to risk diversification, it is obvious that investors and financial institutions should have included both assets in the same portfolio during that period.

Suggested Citation

  • Tsangyao Chang & Yu-Chen Wei & Yang-Cheng Lu, 2007. "An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan," Economics Bulletin, AccessEcon, vol. 3(45), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-07c30070
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    References listed on IDEAS

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    2. Pin-te Lin & Franz Fuerst, 2014. "The integration of direct real estate and stock markets in Asia," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1323-1334, April.

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    More about this item

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G1 - Financial Economics - - General Financial Markets

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