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    题名: Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economies
    作者: Lin, Calvin Tsoyu;Lin,Zong-Han
    林左裕
    贡献者: 政大地政系
    关键词: Real estate market;Stock market;Cointegration;Segmentation;Substitution effect;Portfolio management
    日期: 2011-09
    上传时间: 2013-09-13 12:39:33 (UTC+8)
    摘要: Rising asset prices spurred by Asia's emerging economy have drawn much attention recently. This study examines one source of growth patterns in asset prices by analyzing the integration relationship between stock markets and real estate markets in Asia. Six economies are selected for empirical analysis: China, Hong Kong, Japan, Singapore, South Korea, and Taiwan. Results show that stock markets are integrated with real estate markets in Japan, and partially integrated with real estate markets in China, Hong Kong, and Taiwan. This implies that these two investment vehicles are substitutable in China, Hong Kong, Japan, and Taiwan, and provide diversification potential for investment portfolios in South Korea and Singapore. Examining the timing of market changes, we found the real estate market leading the stock market in some countries, and the stock market leading the real estate market in others. We conclude that stock and real estate markets show a variety of inter-relationships depending on economic and political policy environments.
    關聯: Pacific Basin Finance Journal, 19(5), 571-585
    数据类型: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.pacfin.2011.05.001
    DOI: 10.1016/j.pacfin.2011.05.001
    显示于类别:[地政學系] 期刊論文

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