Integration between Real Estate Market and Stock Market:Evidence from Taiwan

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Title:	Integration between Real Estate Market and Stock Market:Evidence from Taiwan
Authors:	Wang, Yih-Chang, Ran Huang, Chien-Chung Nieh, Hong-Kou Ou and Maochieh Chi
Keywords:	Indexes;Stock markets;Standards;Time series analysis;Electronic mail;Investment;Couplings
Date:	2017-01-01
Issue Date:	2017-11-01 02:10:22 (UTC+8)
Abstract:	This paper investigates long-run equilibrium relationship between real estate market and stock market in Taiwan using real estate investment trust (REIT) index. Linear cointegration model and recently developed time-varying vector error correction model are applied to explore possible long-run linear and non-linear linkage between the two indexes. The results of both the cointegration tests point to the existence of neither linear nor non-linear cointegration, suggesting that REIT markets are segmented from stock markets. These findings have important implication for investors and policy makers.
Relation:	Proceedings of the 2017 IEEE International Conference on Applied System Innovation (IEEE-ICASI 2017)
DOI:	10.1109/ICASI.2017.7988240
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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