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題名 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
貢獻者 政大地政系
關鍵詞 Real estate market;Stock market;Cointegration;Segmentation;Substitution effect;Portfolio management
日期 2011-09
上傳時間 13-Sep-2013 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
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.pacfin.2011.05.001
dc.contributor 政大地政系en_US
dc.creator (作者) Lin, Calvin Tsoyu ;Lin,Zong-Hanen_US
dc.creator (作者) 林左裕-
dc.date (日期) 2011-09en_US
dc.date.accessioned 13-Sep-2013 12:39:33 (UTC+8)-
dc.date.available 13-Sep-2013 12:39:33 (UTC+8)-
dc.date.issued (上傳時間) 13-Sep-2013 12:39:33 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60813-
dc.description.abstract (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.en_US
dc.format.extent 392087 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Pacific Basin Finance Journal, 19(5), 571-585en_US
dc.subject (關鍵詞) Real estate market;Stock market;Cointegration;Segmentation;Substitution effect;Portfolio managementen_US
dc.title (題名) Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economiesen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.pacfin.2011.05.001en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.pacfin.2011.05.001en_US