Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns
Author(s): Graham Newell, Maurice Peat & Max Stevenson
Date of publication: April 1996
Working paper number: 61
In this paper we have tested for evidence of nonlinear structure in Australian asset returns including those of real estate and investment trusts, stock market indicies and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear deterministic (chaotic) structure against a random alternative, others have power against nonlinear stochastic structure. If nonlinear deterministic and random walk models are not appropriate to explain asset returns behaviour, then stochastic nonlinearity seems like a logical alternative. The results from our study lead us to that conclusion.
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Known citations:

Jirasakuldech, B. and Emekter, R., 2009, "Nonlinear Dynamics Behavior in the REIT Industry: A Pre- and Post-1993 Comparison", Journal of Real Estate Portfolio Management, 18(1), 57-77.

Liow, K. H. and Webb, J. R., 2008, "Nonlinear Return Dependence in Major Real Estate Markets", Journal of Property Research, 25(4), 285–319.

Lizieri, C. and Ward, C., 2000, "Commercial Real Estate Return Distributions: A Review of Literature And Empirical Evidence", Real Estate & Planning Working Paper: 2000-01, University of Reading.

Newell, G., Peat, M. and Stevenson, M., 1997, "Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies", Working Paper: 73, Finance Discipline Group, University of Technology, Sydney.