期刊
JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS
卷 21, 期 3, 页码 251-261出版社
KLUWER ACADEMIC PUBL
DOI: 10.1023/A:1012051719424
关键词
REITS markets; stock markets; causality
This paper examines the dynamic relationship that exists between the US real estate and S&P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear causality tests. The results from these tests provide a number of interesting observations which primarily show linear relationships to be spuriously affected by structural shifts which are inherent within the data. Linear test results generally show a uni-directional relationship to exist from the real estate market to the stock market. However, these results are not consistent with financial theory and for all sub-samples of the data. In contrast, the nonlinear causality rest shows a strong unidirectional relationship running from the stock market to the real estate market, and is consistent in the presence of any structural breaks.
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