Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14315
Title: Long term relationship and short term dynamics between property stock prices and net asset values in Asian-Pacific region
Authors: LI YING
Keywords: Panel unit root, Panel cointegration, Dynamic ECM panel data model, Property Company, Net asset Value, Asian-Pacific region
Issue Date: 2-Nov-2004
Source: LI YING (2004-11-02). Long term relationship and short term dynamics between property stock prices and net asset values in Asian-Pacific region. ScholarBank@NUS Repository.
Abstract: By exploiting the recent technique of panel approaches, this thesis attempts to investigate the long-run cointegration relationship and short-run dynamics between share prices and net asset values of listed property companies from a panel context. Three panel methods, panel unit root tests, panel cointegration test, and dynamic ECM panel data model, are applied to eight Asian securitized real estate markets, namely, Australia (14 companies), Hong Kong (36 companies), Indonesia (7 companies), Japan (108 companies), Malaysia (36 companies), Philippines (20 companies), Singapore (16 companies) and Thailand (11 companies), over a sample 9-year period from 1995 Q1 to 2003 Q4. In general, the empirical results both from the individual property market and from the overall property markets have consistently suggested a close relationship between stock prices and net asset values in the long run and short run. They reveal the evidence of a convergence behavior of property companiesa?? share prices toward their underlying asset values in Asian-Pacific area. The results also confirm the NAV based property stock valuation theory empirically.
URI: http://scholarbank.nus.edu.sg/handle/10635/14315
Appears in Collections:Master's Theses (Open)

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