Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/219485
Title: CORRELATION STRUCTURE OF PROPERTY STOCK RETURNS AND MACROECONOMIC FACTORS AN INTERNATIONAL PERSPECTIVE
Authors: CHOW TUCK KHEONG DOUGLAS
Issue Date: 2004
Citation: CHOW TUCK KHEONG DOUGLAS (2004). CORRELATION STRUCTURE OF PROPERTY STOCK RETURNS AND MACROECONOMIC FACTORS AN INTERNATIONAL PERSPECTIVE. ScholarBank@NUS Repository.
Abstract: This study provides new empirical evidence on the relationship between US, UK, HK and SG property stock market returns and their economies using factor analytic approach and canonical correlation analysis. This is a timely study that encompasses a local market framework within an international framework. In a local context, this study is meant to identify the local relevant macroeconomic variables that explain changes in local property stock returns. Within a wider international context, it attempts to identify cross border relationships between macroeconomic vanables and property stock returns. Within a local context, this study reveals that HK and SG macroeconomic variables have significant relationships with local property stock returns but the US and UK data produced no significant links between macroeconomic variables and local property stock returns. I/B 3mths, I/B 1 yr, MS and SMR pertaining to the HK economy are significantly related to the local stock market returns while I/B 3 mths, UMR, I/B lyr, GDP, EXV, MS, SMR and INF pertaining to the Singapore economy are significantly linked to the local property stock returns. In an international context, even though it is established that there are close linkages between the economies of the four countries, these close linkages do not translate into close cross-country linkages between macroeconomic vanables and property stock returns. This may indicate that even though these four economies are closely integrated, there still exist opportunities for diversification of risk in the context of property investment. It is also established that EXV, IMV, MS, INF and SMR pertaining to the US economy are significantly related to the Singapore property stock market. Also established was that EXV, IMV, MS, SMR, I/B 3 mths and I/B lyr pertaining to the HK economy are significantly linked to the property stock market returns in Singapore.
URI: https://scholarbank.nus.edu.sg/handle/10635/219485
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