Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets

1999 ◽  
Vol 18 (2) ◽  
pp. 257-278 ◽  
Author(s):  
Patrick Wilson ◽  
John Okunev
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
Long Run

Analyzing Long-Term Dynamic Causal Linkages and Financial Integration Between the Capital Markets in Romania and Hungary

2019 ◽  
pp. 215-228
Keyword(s):  
Stock Markets ◽  
Financial Integration ◽  
Financial Contagion ◽  
Emerging Stock Markets ◽  
International Portfolio Diversification ◽  
Contagion Effects ◽  
Long Run ◽  
International Portfolio ◽  
The Empirical Analysis

This chapter aims to investigate long-term dynamic causal linkages between stock markets in Hungary and Romania in order to obtain additional benefits based on international portfolio diversification, especially in terms of globalization. Emerging stock markets are generally considered to be more attractive for both institutional and individual financial investors due to certain stylized facts. The volatility transmission patterns, financial contagion effects, international interdependence and long-run causal linkages between international stock markets highlight the importance of a functional and stable financial environment. Technically, the structure of this subchapter includes both theoretical developments and additional empirical results. Moreover, the empirical analysis provides a quantitative perspective on global interdependencies between Romania and Hungary.

scholarly journals The Time-Varying Nature of Reits

2018 ◽  
Vol 26 (1) ◽  
pp. 26-38
Author(s):  
Bing Zhu
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Property Market ◽  
True Nature ◽  
Optimal Weights ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Class ◽  
Informational Environment

Abstract This paper investigates changes in the nature of REITs by estimating the time-varying long-run relationship among securitized real estate, direct real estate, and stock performance. The informational environment of U.S. REITs has matured gradually since their introduction. As more information on this asset class has become available, the “true” nature of REITs has thus become more apparent. We find that the long-term elasticity of direct real estate total returns on REIT total returns has increased since 1980, and became significant at the beginning of the 1990s, while the elasticity of general equity total returns remained insignificant. During the 2000s, the underlying property market was able to predict nearly 30% of REIT variance in the long term. Consequently, ignoring changes in the “nature” of REITs may lead to an underestimation of the influence from the underlying property market, and misspecification of the optimal weights in the long-term inter-asset portfolio.

Gold's Price and Advanced Stock Markets

2020 ◽  
pp. 143-156
Author(s):  
Nikolaos Stoupos ◽  
Apostolos Kiohos
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Financial Crises ◽  
Economic Recession ◽  
Safe Haven ◽  
Short Term ◽  
Long Run ◽  
Intraday Data ◽  
Global Investors

Traditionally, the gold has been approved as a safe-haven investment after the collapse of Breton Woods. The global investors especially prefer to rebalance their portfolios by purchasing gold or its derivatives during financial crises. This research explores realized dynamic linkages between gold and the advanced stock market indices, after the end of the 2008 economic recession. This chapter used the fractionally co-integrated ECM by utilizing intraday data from 2013 and thereafter. The empirical outcomes support that there is a negative-realized dynamics between the advanced stock markets and the gold's price in the short and in the long run. Specifically, the short-term dynamics of gold's price seems to be higher on the French and Japanese stock market indices. Lastly, the long-term dynamics of gold's price seems to be higher on the Dow Jones and the FTSE100.

scholarly journals Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence

2019 ◽  
Vol 12 (1) ◽  
pp. 16 ◽  
Author(s):  
Kim Hiang Liow ◽  
Xiaoxia Zhou ◽  
Qiang Li ◽  
Yuting Huang
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Time Scale ◽  
Stock Markets ◽  
Real Estate Markets ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Local Stock ◽  
Domestic Stock

: This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in the respective economies, it is linked to the stock market. Earlier research does not have satisfactory results, because traditional methods average different relationships over various time and frequency domains between securitized real estate and local stock markets. According to our novel wavelet analysis, the relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less sensitive to the domestic stock markets in the long-run in recent years. Moreover, securitized real estate markets appear to lead stock markets in the short run, whereas stock markets tend to lead securitized real estate markets in the long run, and to a lesser degree medium-term. Finally, we find incomplete real estate and local stock market integration among the five developed economies, given only weaker long-run integration beyond crisis periods.

Underpricing in Initial Public Offerings: The Indian Evidence

1997 ◽  
Vol 22 (4) ◽  
pp. 17-30 ◽  
Author(s):  
T P Madhusoodanan ◽  
M Thiripalraju
Keyword(s):  
Initial Public Offerings ◽  
Stock Markets ◽  
Short Term ◽  
Public Offerings ◽  
Long Run ◽  
The Impact

Underpricing in the initial public offerings (IPOs) is a well documented phenomenon in the stock markets. In this paper T P Madhusoodanan and M Thiripalraju analyse the Indian IPO market for the short-term as well as long-term underpricing. They also examine the impact of the issue size on the extent of underpricing in these offerings and the performance of the merchant bankers in pricing these issues. The study indicates that, in general, the underpricing in the Indian IPOs in the shortrun was higher than the experiences of other countries. In the long-run too, Indian offerings have given high returns compared to negative returns reported from other countries. The study also reveals that none of the merchant bankers showed any better pricing capabilities.

scholarly journals International Real Estate Review

2014 ◽  
Vol 17 (2) ◽  
pp. 157-202
Author(s):  
Kim Hiang Liow ◽  
◽  
Felix Schindler ◽  
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
Research Work ◽  
The Real ◽  
The Real Estate ◽  
Dynamic Relationship ◽  
Long Run ◽  
International Environment ◽  
The Individual ◽  
Dynamic Relationships

The primary contribution of this study is to comprehensively assess whether public real estate and stock markets are linked at the local, regional, and global levels, and assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs of real estate and stock markets, our analysis shows that the current levels of local, regional, and global correlations between real estate and stock markets are time-varying, and at most, moderate at the respective integration levels. The real estate and stock markets are both contemporaneously and causally linked in their returns and volatilities; however, the causality relationship appears weaker. In the long run, the real estate markets have slowly become more integrated with the global and regional stock markets, while less integrated with the local stock markets. In addition, the extracted common factors allow for a direct assessment of the dynamic relationships between the real estate and stock markets as a group, and thereby complement the individual results. Finally, there appears to be a declining real estate and stock return dispersion and differential at the local, regional, and global levels for all nine economies studied in this research work, which indicate a tendency of return convergence between real estate and stock markets in the international environment.

scholarly journals Diversifikationsvorteile verbriefter Immobilienanlagen in einem Mixed-Asset-Portfolio

2011 ◽  
Vol 12 (2) ◽  
pp. 170-191 ◽  
Author(s):  
Roland Füss ◽  
Felix Schindler
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Hedge Funds ◽  
Cash Flows ◽  
Investment Horizon ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Classes ◽  
International Investors

AbstractThis article examines whether international investors benefit from adding real estate investment trusts (REITs) to a mixed asset portfolio consisting of global stocks, bonds, hedge funds, and commodities. Previous literature has shown that REITs provide a strong co-movement with direct real estate in the long run. We therefore test the diversification potential of international REITs within the strategic asset allocation. Using the Johansen cointegration technique, we show that there is no long-term co-movement between REITs and the other asset classes in the period from January 1990 to December 2009. Thus, the empirical evidence suggests that REITs improve the diversification potential for active investors and those with a long-term investment horizon by simultaneously generating continuous cash flows.

INVESTIGATION OF CONVERGENCE OF RETURNS ON STOCK MARKETS IN IRAN

2017 ◽  
Vol 3 (1) ◽  
pp. 23
Author(s):  
Mehdi Shirafkan ◽  
Sarah Masoomzadeh ◽  
Morteza Sayareh
Keyword(s):  
Real Estate ◽  
Nuclear Fuel ◽  
Confidence Level ◽  
Stock Markets ◽  
Pharmaceutical Products ◽  
Asset Markets ◽  
Industrial Companies ◽  
Long Run ◽  
Asset Portfolio ◽  
Chemical Products

PURPOSE Due to the nature of the assets in Iran, markets such as stock markets are options facing investors as asset portfolio, with different returns. Usually, investors are looking for higher returns. By accumulation of investors on markets with higher returns, it is expected that the long-run returns of such markets be decreased, which leads to the induction of difference between these markets’ returns with other markets. This can be named as returns convergence of different asset markets. METHODOLOGYThis study aims to also examine the returns convergence of stock markets in Iran over the period 2009:05- 2016:02, using Nahar and Inder method. This method examines the returns convergence of each of these markets to the average returns of them.MAIN FINDINGSBased on the results, the returns of banks and credit institutions, industrial companies, mining of metal ores, chemical products, refined petroleum and nuclear fuel, cement are converged to the average returns. All coefficients are statistically significant at a confidence level of ten percent. But basic metals, telecommunications, multidisciplinary, automobile and parts, engineering services, materials and Manufacture of coke, lime and plaster, materials and pharmaceutical products, transport, storage and communications, computer and related activities, mass product, real estate and food products and Beverage except sugar`s returns has not converged to the average returns.IMPLICATIONS This study can be called as the convergence of diverse market. Namely, returns of different investment markets will be converged on each other in the long term.NOVELTY/ ORIGINALITY The present study, when focusing on the examination the returns convergence of stock markets in Iran, differs from the previous researches. 

Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets

2017 ◽  
Vol 20 ◽  
pp. 217-222 ◽  
Author(s):  
Apostolos Kiohos ◽  
Vassilios Babalos ◽  
Athanasios Koulakiotis
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
Wealth Effect
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