IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets"

by John Okunev & Patrick J. Wilson

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Eddie C. M. Hui & Wenjuan Zuo & Lun Hu, 2010. "Examining the relationship between real estate and stock markets in Hong Kong and the United Kingdom through datamining," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 15(1), pages 26-34, August.
  2. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
  3. Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
  4. 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.
  5. 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.
  6. 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.
  7. Eddie C. M. Hui & Sheung-Chi Phillip Yam & Si-Wei Chen, 2011. "Shiryaev-Zhou index -- a noble approach to benchmarking and analysis of real estate stocks," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 16(2), pages 158-172, September.
  8. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2011. "Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach," Working Papers 201136, University of Pretoria, Department of Economics.
  9. Liow, Kim Hiang, 2003. "Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 235-255, September.
  10. repec:prg:jnlpep:v:preprint:id:560:p:1-15 is not listed on IDEAS
  11. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2011. "Are the global real estate markets contagious?," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 16(3), pages 219-235, November.
  12. Kim Hiang Liow, 2006. "Dynamic relationship between stock and property markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 371-376.
  13. Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January.
  14. Eddie C. M. Hui & Sheung-Chi Phillip Yam, 2014. "Can we beat the "buy-and-hold" strategy? Analysis on European and American securitized real estate indices," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 18(1), pages 28-37, March.
  15. Xiao-Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, 05.
  16. Zhuo Qiao & Keith Lam, 2011. "Granger causal relations among Greater China stock markets: a nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1437-1450.
  17. John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
  18. Emmanuel Anoruo & Habtu Braha, 2008. "Housing and Stock Market Returns: An Application of GARCH Enhanced VECM," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 30-40, June.
  19. Leon Shilton, 2000. "Random Walks and the Cointegration of the ACLI and NCREIF," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 435-465.
  20. Yu-Shao Liu & Chi-Wei Su, 2010. "The relationship between the real estate and stock markets of China: evidence from a nonlinear model," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1741-1749.
  21. Tsai, I-Chun, 2015. "Dynamic information transfer in the United States housing and stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 215-230.
  22. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  23. Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.
  24. 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.
  25. Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG, 2013. "Does Wealth or Credit Effect Exist in China?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 104-114, October.
  26. Kim Liow & Haishan Yang, 2005. "Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 283-300, November.
  27. repec:ebl:ecbull:v:3:y:2007:i:45:p:1-11 is not listed on IDEAS
  28. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2496-2516, September.
  29. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
  30. Kiohos, Apostolos & Babalos, Vassilios & Koulakiotis, Athanasios, 2017. "Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets," Finance Research Letters, Elsevier, vol. 20(C), pages 217-222.
  31. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
  32. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 309-323, December.
  33. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.
  34. Anders C Johansson & Christer Ljungwall, 2006. "Spillover Effects among the Greater China Region Stock Markets," Microeconomics Working Papers 22046, East Asian Bureau of Economic Research.
  35. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany.
  36. 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.
  37. L.J. Perry & Patrick J. Wilson, 2000. "The Accord and strikes: an International perspective," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 4(4), pages 232-247, December.
  38. Colin Lizieri & Charles Ward, 2000. "Commercial Real Estate Return Distributions: A Review Of Literature And Empirical Evidence," Real Estate & Planning Working Papers rep-wp2000-01, Henley Business School, Reading University.
  39. Berg, Nathan & Gu, Anthony Y. & Lien, Donald, 2007. "Dynamic correlation: A tool hedging house-price risk?," MPRA Paper 26368, University Library of Munich, Germany.
  40. Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81.
  41. Kim Hiang Liow, 2008. "Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence," Journal of Property Research, Taylor & Francis Journals, vol. 25(2), pages 127-155, November.
  42. Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
  43. 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.
  44. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
  45. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
  46. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  47. Kim Liow & Kim Ho & Muhammad Ibrahim & Ziwei Chen, 2009. "Correlation and Volatility Dynamics in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 202-223, August.
  48. John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
  49. Kim Liow, 2009. "Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 415-438, November.
  50. 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.
  51. 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.
  52. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.
  53. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  54. Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE, 2015. "Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 27-38, September.
  55. Jian Yang & Yinggang Zhou & Wai Leung, 2012. "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 491-521, August.
  56. Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014. "Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach," Working Papers 201436, University of Pretoria, Department of Economics.
  57. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515.
  58. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-261, November.
  59. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  60. John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers rep-wp2005-16, Henley Business School, Reading University.
  61. Ata Assaf, 2006. "Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 441-462.
  62. Westerheide, Peter, 2006. "Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison," ZEW Discussion Papers 06-57, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  63. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2013. "Contagion across real estate and equity markets during European sovereign debt crisis," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 17(3), pages 305-316, September.
  64. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
  65. Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2016. "Are international securitized property markets converging or diverging?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 1-10.
  66. James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1211-1217.
  67. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.