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https://scholarbank.nus.edu.sg/handle/10635/191616
Title: | CYCLICAL RELATIONSHIP BETWEEN PRIVATE RESIDENTIAL REAL ESTATE AND PROPERTY STOCK PRICES | Authors: | GOH XIU LIN, NOELEEN | Keywords: | Private Residential Property Price Cycles Property Stock Price Cycles Spectral and Co-spectral techniques Co-cyclical Relationships Lead-lag structures |
Issue Date: | 2002 | Citation: | GOH XIU LIN, NOELEEN (2002). CYCLICAL RELATIONSHIP BETWEEN PRIVATE RESIDENTIAL REAL ESTATE AND PROPERTY STOCK PRICES. ScholarBank@NUS Repository. | Abstract: | The private residential property market is of great interest to many investors as it forms the bulk of their physical real estate assets. Many studies and researches have been done on the relationship between the physical real estate and securitised real estate. Often, the securitised real estate asset is regarded as a proxy for the physical real estate because of its transparent characteristics. However, no consensus has been reached yet. This study makes use of spectral and co-spectral techniques to give an alternative approach to the cyclical characteristics and the co-cyclical relationship between the private residential market and the property stock market in Singapore. The uniqueness of this analysis lies in its abilities to examine the frequency component of the cycles and to 'extract' the dominant approximate cycles from the data series. Similar spectral and cospectral techniques are performed on the private residential sub-types, namely detached, semi-detached, terrace, apartments and condominiums, to give further insights. The author has found that the private residential property market has a close co-cyclical relationship with the property stock market with insignificant time lag in the long run. However, in the short-run, it exhibits time lags of about one to three quarters. The residential sub-types generally have a contemporaneous relationship with the property stock market by with varying degrees. In the short run, their lead/lag structures are volatile. Hence, this study concludes that both property markets in question has a contemporaneous relationship and coincides with established norms. | URI: | https://scholarbank.nus.edu.sg/handle/10635/191616 |
Appears in Collections: | Bachelor's Theses |
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