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The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach

This thesis examines the long-run and short-run relationship between residential real estate market and stock market in Malaysia during the period of 1988-2004. I take the perspective that real estate prices are the driving forces of stock prices given the fact that the purchase of residential prope...

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Main Author: Wong, Woei Chyuan
Format: Thesis
Language:English
English
Published: 2005
Subjects:
HD1361-1395.5 Real Estate Business
Online Access:http://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf
http://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf
http://etd.uum.edu.my/1375/
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spelling my.uum.etd.13752013-07-24T12:11:41Z http://etd.uum.edu.my/1375/ The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach Wong, Woei Chyuan HD1361-1395.5 Real Estate Business This thesis examines the long-run and short-run relationship between residential real estate market and stock market in Malaysia during the period of 1988-2004. I take the perspective that real estate prices are the driving forces of stock prices given the fact that the purchase of residential property is an important investment decision to an individual investor. Individual investors are expected to adjust their financial assets allocation based on the changes in house prices with the purpose to maximize their investment utility. Terrace House Price Index and High-Rise Unit Price Index were used as proxies for residential real estate market given the trade-off nature between these properties for an individual investor when come to investment decision. By using Autoregressive Distributed Lag (ARDL) cointegration procedure, the results suggest that residential real estate and stock market are not cointegrated. Further test was also executed by using the All House Price Index as a proxy for residential real estate. The results remained the same where residential real estate market is found to be segmented from the stock market. An exclusian of a variable (Consumer Price Index) that was highly correlated with other independent variables in the ARDL model also does not change the results. This would indicate that investors could diversify their portfolio by investing in the residential real estate and the stock market. 2005-11-20 Thesis NonPeerReviewed application/pdf en http://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf application/pdf en http://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf Wong, Woei Chyuan (2005) The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic HD1361-1395.5 Real Estate Business
spellingShingle HD1361-1395.5 Real Estate Business
Wong, Woei Chyuan
The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
description This thesis examines the long-run and short-run relationship between residential real estate market and stock market in Malaysia during the period of 1988-2004. I take the perspective that real estate prices are the driving forces of stock prices given the fact that the purchase of residential property is an important investment decision to an individual investor. Individual investors are expected to adjust their financial assets allocation based on the changes in house prices with the purpose to maximize their investment utility. Terrace House Price Index and High-Rise Unit Price Index were used as proxies for residential real estate market given the trade-off nature between these properties for an individual investor when come to investment decision. By using Autoregressive Distributed Lag (ARDL) cointegration procedure, the results suggest that residential real estate and stock market are not cointegrated. Further test was also executed by using the All House Price Index as a proxy for residential real estate. The results remained the same where residential real estate market is found to be segmented from the stock market. An exclusian of a variable (Consumer Price Index) that was highly correlated with other independent variables in the ARDL model also does not change the results. This would indicate that investors could diversify their portfolio by investing in the residential real estate and the stock market.
format Thesis
author Wong, Woei Chyuan
author_facet Wong, Woei Chyuan
author_sort Wong, Woei Chyuan
title The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
title_short The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
title_full The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
title_fullStr The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
title_full_unstemmed The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach
title_sort integration of residential real estate market and stock markets : assessment from ardl approach
publishDate 2005
url http://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf
http://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf
http://etd.uum.edu.my/1375/
_version_ 1644276430416117760
score 13.211869

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