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Relationships between Australian Real Estate and Stock Market Prices—a Case of Market Inefficiency.
- Source :
- Journal of Forecasting; Apr2002, Vol. 21 Issue 3, p181-192, 12p, 4 Charts
- Publication Year :
- 2002
-
Abstract
- This paper explores the relationship between the Australian real estate and equity market between 1980 and 1999. The results from this study show three specific outcomes that extend the current literature on real estate finance. First, it is shown that structural shifts in stock and property markets can lead to the emergence of an unstable linear relationship between these markets. That is, full-sample results support bi-directional Granger causality between equity and real estate returns, whereas when sub-samples are chosen that account for structural shifts the results generally show that changes within stock market prices influence real estate market returns, but not vice versa. Second, the results also indicate that non-linear causality tests show a strong unidirectional relationship running from the stock market to the real estate market. Finally, from this empirical evidence a trading strategy is developed which offers superior performance when compared to adopting a passive strategy for investing in Australian securitized property. These results appear to have important implications for managing property assets in the funds management industry and also for the pricing efficiency within the Australian property market. [ABSTRACT FROM AUTHOR]
- Subjects :
- REAL property
STOCK prices
FINANCE
PRICES of securities
STOCK exchanges
Subjects
Details
- Language :
- English
- ISSN :
- 02776693
- Volume :
- 21
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of Forecasting
- Publication Type :
- Academic Journal
- Accession number :
- 6768425
- Full Text :
- https://doi.org/10.1002/for.825