The Integration of Direct Real Estate and Stock Markets in Asia

Lin, P.-T. and Fuerst, F. (2014) The Integration of Direct Real Estate and Stock Markets in Asia, Applied Economics, 46(12), 1323-1334.

Posted: 9 Dec 2012 Last revised: 18 Sep 2014

See all articles by Pin-te Lin

Pin-te Lin

Australian National University (ANU)

Franz Fuerst

University of Cambridge - Department of Land Economy; University of Melbourne; City University of New York - Center for Urban Research

Date Written: December 8, 2012

Abstract

Currently, there exists relatively little research investigating the long-term association between stock and direct real estate markets. Using appropriate transaction-based property indices, this study focuses on the relationship between stock and direct real estate markets in nine Asian countries from the period 1980 to 2012 through both linear and nonlinear cointegration techniques. We find empirical evidence of linear cointegration of stock and property markets in Taiwan, fractional cointegration in Singapore and Hong Kong and no evidence of cointegration in China, Japan, Thailand, Malaysia, Indonesia and South Korea. It is concluded that segmentation of property markets from stock markets does not appear to be linked to the differences in the maturity of national financial markets and that the differing degrees of integration across Asia may instead be reflective of a range of factors impacting upon the underlying economic structures in each country.

Keywords: Cointegration, Asia, Stocks, Direct real estate

JEL Classification: C32, G11, R30

Suggested Citation

Lin, Pin-te and Fuerst, Franz, The Integration of Direct Real Estate and Stock Markets in Asia (December 8, 2012). Lin, P.-T. and Fuerst, F. (2014) The Integration of Direct Real Estate and Stock Markets in Asia, Applied Economics, 46(12), 1323-1334., Available at SSRN: https://ssrn.com/abstract=2186877 or http://dx.doi.org/10.2139/ssrn.2186877

Pin-te Lin (Contact Author)

Australian National University (ANU) ( email )

Franz Fuerst

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/directory/dr-franz-fuerst

University of Melbourne ( email )

185 Pelham Street
Carlton, Victoria 3053
Australia

City University of New York - Center for Urban Research

CUNY The Graduate Center
New York, NY 10011
United States

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