Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/27658
Title: The dynamic relationship between commercial real estate and stock markets
Authors: YANG HAISHAN
Keywords: Commercial Real Estate, Common Stock, Nonlinearity, Market Integration, Granger Causality, Macroeconomy
Issue Date: 2-Jan-2004
Source: YANG HAISHAN (2004-01-02). The dynamic relationship between commercial real estate and stock markets. ScholarBank@NUS Repository.
Abstract: This study inspected three issues in relation to the relationship between commercial real estate and common stock markets in Singapore context: market integration, causal relationship, and long-run and short-run relationships in the context of macroeconomy. Linear and nonlinear, parametric and nonparametric testing methodologies were adopted to test for the linear and nonlinear relationship between the two significant asset markets. An initial examination of the distributional traits for various series throughout the dissertation uncovered certain degree of nonlinear structure, other than linear fabric, in commercial real estate and some macroeconomic variables. The subsequent results suggested that: 1) the two markets were integrated; 2) there were bi-directional nonlinear Granger causalities between the two market returns; 3) the two markets were related to each other nonlinearly within the macroeconomic framework. The theoretical and empirical implications from these findings were also discussed.
URI: http://scholarbank.nus.edu.sg/handle/10635/27658
Appears in Collections:Ph.D Theses (Open)

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