Article ID Journal Published Year Pages File Type
5054891 Economic Modelling 2013 9 Pages PDF
Abstract
► The threshold EC model is used to test the relationship for REITs and stock index. ► Results shows that REIT and stock have covaried in six Asian/Pacific markets. ► The adjustment efficiency in the stock markets is better than in the REIT markets. ► The threshold EC model predicts two-way causality in most countries.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets
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