An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan

被引：0

作者：

Lu, Yang-Cheng ^{[1
]}

Chang, Tsangyao ^{[2
]}

Wei, Yu-Chen ^{[3
]}

机构：

[1] Ming Chuan Univ, Dept Finance, Taipei, Taiwan

[2] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[3] Natl Chiao Tung Univ, Dept Management Sci, Hsinchu, Taiwan

来源：

ECONOMICS BULLETIN | 2007年 / 3卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and Porter-Hudak (1983). The results from both types of cointegration tests strongly indicate that these two markets are not cointegrated with each other. With respect to risk diversification, it is obvious that investors and financial institutions should have included both assets in the same portfolio during that period.

引用

页数：11

共 26 条

[1]

AMBROSE BW, 1992, J AM REAL ESTATE URB, V20, P25

[2]

Campbell J, 1991, WHAT MACROECONOMISTS

[3] FINITE-SAMPLE SIZES OF JOHANSEN LIKELIHOOD RATIO TESTS FOR COINTEGRATION [J].