Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069280 | Finance Research Letters | 2017 | 6 Pages |
Abstract
Employing an innovative ECM-ARFIMA methodology, we set out to explore the dynamic interdependence of stock and securitized real estate markets for two developed western economies that exhibit different characteristics. The empirical analysis ran from 2/1/1990 to 13/06/2014. Our results provide support to the 'wealth effect' and to the fractional integration process in both countries. It is clear that non-linear co-integration, co-memory, long-run and short-run adjustment dynamics are fundamental concepts in understanding market integration/segmentation. Our findings entail significant implications for policymakers, market regulators and investors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
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Authors
Apostolos Kiohos, Vassilios Babalos, Athanasios Koulakiotis,