Title: An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan
Abstract: 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.
Publication Year: 2007
Publication Date: 2007-09-19
Language: en
Type: article
Access and Citation
Cited By Count: 5
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot