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Conditional variance tests of integration between direct and indirect real estate markets

Author

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  • Tien Foo Sing
  • Sook Beng Stephanie Sng

Abstract

Keywords: Real estate, Volatility, Market segmentation, Integration

Suggested Citation

  • Tien Foo Sing & Sook Beng Stephanie Sng, 2003. "Conditional variance tests of integration between direct and indirect real estate markets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 21(4), pages 366-382, August.
    • Handle: RePEc:eme:jpifpp:14635780310483647
    DOI: 10.1108/14635780310483647
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    References listed on IDEAS

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    1. Richard Barkham & David Geltner, 1995. "Price Discovery in American and British Property Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(1), pages 21-44, March.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    4. 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.
    5. Lizieri, Colin & Satchell, Stephen, 1997. "Interactions between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972-1992," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 11-26, July.
    6. Liu, Crocker H. & Hartzell, David J. & Greig, Wylie & Grissom, Terry V., 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 261-282, September.
    7. repec:eme:jpvi00:14635789610154253 is not listed on IDEAS
    8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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