Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Title:
Are Real Estate and Securities Markets Integrated? Some Australian Evidence
Author(s): Pat Wilson, John Okunev and Guy Ta
Date of publication: October 1994
Working paper number: 42
Abstract:
No abstract is available for this item.
Paper: Download (Format: PDF, Size: 1.5 Mb)
Comments: Published as: Wilson, P., Okunev, J. and Ta, G., 1996, "Are Real Estate and Securities Markets Integrated? Some Australian Evidence", Journal of Property Valuation and Investment, 14(5), 7-24.
Known citations:

Apergis, N. and Lambrinidis, L., 2011, "More Evidence on the Relationship Between the Stock and the Real Estate Market", Briefing Notes in Economics, 85.

Gurdgiev, C. and Lucey, B. M., 2011, "Real Estate and the Stock Market: A Meta-Regression Analysis", Working Paper.

Leiting, D., 2005, Tests of Integration of Real Estate and Financial Asset Markets in Singapore and the Asia-Pacific Countries, Masters Thesis, National University of Singapore.

Lin, P. and Fuerst, F., 2012, "The Integration of Direct Real Eestate and Stock Markets in Asia", Working Paper.

Lin, T. C. and Lin, Z., 2011. "Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economies", Pacific-Basin Finance Journal, 19(5), 571-585.

Okunev, J., Wilson, P. and Zurbruegg, R., 2002, "Relationships Between Australian Real Estate and Stock Market Prices — A Case of Market Inefficiency", Journal of Forecasting, 21(3), 181-192.

Ong, T., Teh, B. H. and Chong, M. P., 2011, "A Study On The Performance Of Malaysian Real Estate Investment Trusts From 2005-2010 By Using Net Asset Value Approach", International Journal of Economic Resources, 2(1), 1-15.

Reilly, D., Lucey, B. and Gurdgiev, C., 2011, "Real Estate and the Stock Market: AQ Meta-Regression Analsyis", Working Paper.

Sing, T. F., 2004, "Common Risk Factors and Risk Premia in Direct and Securitized Real Estate Markets", Journal of Property Research, 21(3), 189-207.

Sing, T. F., Deng, L., Wang, H., 2007, "Tests of Common Real Estate Risk Premia in a Time-Varying Expected Return Framework", Journal of Property Investment and Finance, 25(4), 359-369.

Sing, T. F. and Patel, K., 2001, "Effects of Portfolio Diversification on Property Investment Company Stock Prices: 1983-1994", Journal of Property Investment and Finance, 19(4), 390-411.

Sing, T. F. and Sng, S. B. S., 2000, "Conditional Variance Tests of Integration Between Direct and Indirect Real Estate Markets", Journal of Property Investment and Finance, 21(4), 366-382.

Stevenson, S., 2002, "An Examination of Volatility Spillovers in REIT Returns", Journal of Real Estate Portfolio Management, 8(3), 229-238.

Zhu, H., 2005, Regime Switching in International Securitized Property Markets, PhD Thesis, National University of Singapore.

Su, C., 2011, "Non-Linear Causality Between the Stock and Real Estate Markets of Western European Countries: Evidence from Rank Tests", Economic Modelling, 28(3), 845-851.