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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2005
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| Online Access: | https://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf https://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf |
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my-uum-etd.13752013-07-24T12:11:41Z The Integration of Residential Real Estate Market and Stock Markets : Assessment from ARDL Approach 2005-11-20 Wong, Woei Chyuan Sekolah Siswazah Graduate School 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 Thesis https://etd.uum.edu.my/1375/ https://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf application/pdf eng validuser https://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf application/pdf eng public masters masters Universiti Utara Malaysia |
| institution |
Universiti Utara Malaysia |
| collection |
UUM ETD |
| language |
eng eng |
| 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 |
| qualification_name |
masters |
| qualification_level |
Master's degree |
| 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 |
| granting_institution |
Universiti Utara Malaysia |
| granting_department |
Sekolah Siswazah |
| publishDate |
2005 |
| url |
https://etd.uum.edu.my/1375/1/WONG_WOEI_CHYUAN.pdf https://etd.uum.edu.my/1375/2/1.WONG_WOEI_CHYUAN.pdf |
| _version_ |
1747827133105831936 |