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Dynamic relationship between stock and property markets

  • Kim Hiang Liow

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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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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