Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220375
Title: THE DYNAMIC RELATIONSHIP OF SINGAPORE DIRECT REAL ESTATE AND STOCK MARKETS
Authors: ANTONI HALIM
Keywords: Real Estate
Liow Kim Hiang
RE
2017/2018 RE
Issue Date: 2-May-2018
Citation: ANTONI HALIM (2018-05-02). THE DYNAMIC RELATIONSHIP OF SINGAPORE DIRECT REAL ESTATE AND STOCK MARKETS. ScholarBank@NUS Repository.
Abstract: As investors are risk averse, they will try to minimise the risk of their portfolios. Direct real estate and stocks are some of the most common investment asset inside an investor’s portfolio. However, assets within a portfolio might have similar characteristics and price movement, which result in high level of risk. Thus, diversification is often applied to hedge the risk profile of a portfolio. To construct an effective diverse portfolio, it is important to understand how each asset interact with each other. This research focuses on understanding the dynamic relationship between direct real estate sectors, namely residential, retail, office, and industrial sectors, with the stock market, both general stock and property stock. By understanding the long-term and short-term relationship of these assets, investors would be able to make a better investment decision. Three methods are used in this study. First, the Autoregressive Distributed Lag (ARDL) model is used to investigate the long run equilibrium between investment assets. Furthermore, the ARDL model also help to understand the short-term potential of diversification. Following, Granger causality test is implemented to assess the exogeneity of the investment assets. Lastly, Impulse Response Function (IRF) is utilised to examine the effect of sudden changes in particular market to investment assets. Key findings reveal that potential benefit of diversification still apparent, either in long- or short-term, though long run equilibrium exists and shocks happen.
URI: https://scholarbank.nus.edu.sg/handle/10635/220375
Appears in Collections:Bachelor's Theses

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