Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets

Posted: 19 Oct 1999

See all articles by Patrick J. Wilson

Patrick J. Wilson

University of Technology Sydney (UTS) - School of Finance and Economics

John Okunev

Bond University Business School

Abstract

The literature is not clear on whether there are co-dependencies domestically across real estate and stock markets, nor whether there are international co-dependencies for these asset classes, despite the importance of this question for portfolio diversification strategies. In this article, we use a non-linear technique to search for co-dependence over the long term. We find no evidence to suggest long co-memories between stock and property markets in the United States and the United Kingdom, but some evidence of this in Australia. In an international context, if we take whole of sample period data, we find no evidence of long co-memory effects, however if we sample on either side of the 1987 market correction we find evidence of long co-memory.

JEL Classification: G12, R29, R39

Suggested Citation

Wilson, Patrick J. and Okunev, John, Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets. Available at SSRN: https://ssrn.com/abstract=186350

Patrick J. Wilson (Contact Author)

University of Technology Sydney (UTS) - School of Finance and Economics ( email )

Haymarket
Sydney, NSW 2007
Australia
61 2 9514 7777 (Phone)
61 2 9514 7711 (Fax)

John Okunev

Bond University Business School ( email )

Gold Coast
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,286
PlumX Metrics