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Are Real Estate and Securities Markets Integrated? Some Australian Evidence

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  • Pat Wilson
  • John Okunev
  • Guy Ta

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  • Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  • Handle: RePEc:uts:wpaper:42
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    1. 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 2013-34, University of Connecticut, Department of Economics.
    2. 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.
    3. 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 181-192, April.
    4. Tien Foo Sing & Leiting Deng & Hong Wang, 2007. "Tests of common real estate risk premia in a time-varying expected return framework," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 25(4), pages 359-369, July.
    5. Wolski Rafal, 2018. "Listing of Developer Companies as a Predictor of the Situation on the Residential Real Estate Market," Real Estate Management and Valuation, Sciendo, vol. 26(4), pages 12-21, December.
    6. Wolski Rafal, 2020. "Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices," Real Estate Management and Valuation, Sciendo, vol. 28(1), pages 100-111, March.
    7. Mato Njavro & Petra Posedel & Maruška Vizek, 2016. "Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(4), pages 396-410.
    8. Ming-Te Lee & Chyi Lin Lee & Ming-Long Lee & Chien-Ya Liao, 2017. "Price linkages between Australian housing and stock markets: Wealth effect, credit effect or capital switching?," International Journal of Housing Markets and Analysis, Emerald Group Publishing, vol. 10(2), pages 305-323, April.
    9. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
    10. 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.
    11. Lin, Tsoyu Calvin & Lin, Zong-Han, 2011. "Are stock and real estate markets integrated? An empirical study of six Asian economies," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 571-585, November.
    12. Tien Foo Sing, 2004. "Common risk factors and risk premia in direct and securitized real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 21(3), pages 189-207, December.
    13. Su, Chi-Wei, 2011. "Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests," Economic Modelling, Elsevier, vol. 28(3), pages 845-851, May.

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