SCHOOL OF FINANCE AND ECONOMICS
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1 SCHOOL OF FINANCE AND ECONOMICS UTS:BUSINESS WORKING PAPER NO. 47 SEPTEMBER, 1995 Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets John Okunev Patrick Wilson ISSN:
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16 REFERENCES Abraham,]. and Hendershott,P.(1992) "Determinants of Metropolitan House Prices", Federal Reserve Bank of Boston Conference Paper, Sept Abraham,J. and Hendershott,P.(1994) "Bubbles in Metropolitan Housing Markets", NBER Working Paper Series No.4774, Amihud, Y. and H. Mendelson (1987), "Trading Mechanisms and Stock Returns", Journal of Finance, 42, pp Ambrose B., Ancel E. and M. Griffiths (1992), "The Fractual Structure of Real Estate Investmnet Trust Returns: A Search fro Evidence of Market Segmentation and Nonlinear Dependency", Journal of American Real Estate and Urban Economics Asociation, 20, pp Asabere, P.K., Kleiman, R.T. & McGowan Jr., C. B. (1991) "The Risk-Return Attributes of International Real Estate Equities", The Journal of Real Estate Research, Vol. 6, No. 2., Black, F and M. Scholes (1973). "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, pp Cameron, Colin (1989) "Bubbles And Fads In Asset Prices," Journal of Economic Surveys, Vol.3, No.1, Campbell, J. Y. and Shiller, R. J. (1988), "Stock Prices, Earnings and Expected Dividends", Journal of Finance, 43, Campbell, J. Y. and Kyle, A. S. (1993), "Smart Money, Noise Trading and Stock Price Behavior", Review of Economic Studies, 60,
17 Case,K.E. and Shiller,R.J. (1988) "The Behaviour of Home Buyers in Boom and Post-Boom Markets", New England Economic Review, Nov./Dec., Cecchetti, Stephen G., Pok-Sang Lam and Nelson C. Mark (1990) "Mean Reversion In Equilibrium Asset Prices," American Economic Review, Vol. 80 No.3, Chiang, R., Liu, P. and Okunev, J. (1995), "Modelling Mean Reversion of Asset Prices Towards their Fundamental Value", Journal of Banking and Finance, forthcoming. Dezhbakhsh, Hashem and Asli Demirguc-Kunt (1990) "On The Presence Of Speculative Bubbles In Stock Prices," Journal of Financial and Quantitative Analysis, Vol. 25 No.1, Diba, Behzad T. and Herschel I. Grossman (1988) "Explosive Rational Bubbles In Stock Prices?," American Economic Review, Vol. 78, No.3, Diba, Behzad T. and Herschel I. Grossman (1988) "The Theory Of Rational Bubbles In Stock Prices," The Economic Journal, Vol. 98, No.392, Dickey,D.A. and Fuller,W.A. (1981) "Likelihood Ratio Statistics for Autoregressive TimeSeries with a Unit Root", Econometrica, Vol.49, DiPasquale,D. and Wheaton,W.C. (1990) "Housing Market Dynamics and the Future of Housing Prices", Mimeograph May Dumas, B. and B. Jacquillat (1990) "The Money And Bond Markets In France: Segmentation Vs. Integration," Journal of ~anking and Finance, Vol. 14, No. 2/3, Engel, Charles and Charles S. Morris. "Challenges To Stock Market Efficiency: Evidence For Mean Reversion Studies," FRB Kansas City -Economic Review, Vol. 1991, No.5,
18 Engle, R.F. & Granger, C.W.J. (1987) "Co-integration and Error Correction: Representation, Estimation, and Testing", Econometrica, Vol. 55 No. 2,1987. Errunza, V., E. Losq and P. Padmanabhan (1992) "Tests Of Integration, Mild Segmentation And Segmentation Hypotheses," Journal of Banking and Finance, Vol. 16, No.5, Evans, George W (1991) "Pitfalls In Testing For Explosive Bubbles In Asset Prices," American Economic Review, Vol.81, No.4, Fama, E. F. and French, K. R. (1988), "Dividend Yields and Expected Stock Returns", Journal of Financial Economics, 22, Fu,Y., Leung,W.K. and Lo,W.C. (1994) "The Dynamics of Residential Property Markets and the Stock Market in Hong Kong", Asia/Pacific Finance Conference, Sydney, Geltner, D. (1990), " Return Risk and Cashflow Risk with Long Term Riskless Leases in Commercial Real Estate", Journal of American Real Estate and Urban Economics Association, 18, pp Green, R.K. and Hendershott,P.H. (1993) "Demographic Factors and Real House Prices", NBER Working P~per Series, Paper No.4332, April, Jegadeesh, Narasimhan (1991) "Seasonality In Stock Price Mean Reversion: Evidence From The U.S. And The U.K.," Journal of Finance, Vo1.46, No.4, Kim, Myung Jig, Charles R. Nelson and Richard Startz (1991) "Mean Reversion In Stock Prices? A Reappraisal Of The Empirical Evidence," Review of Economic Studies, Vol.58, No.l95,
19 Liu, C. H., Hartzell, D. J., Greig, W. & Grissom, T.V. (1990) "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence", Journal of Real Estate fmance and Economics, Vol. 3, Madura, Jeff and Ann Marie Whyte (1991) "Integration Versus Segmentation In Real Asset Markets: Implications For Direct Foreign Investment," Global Finance Journal, Vol.2, No.l/2, Merton R. (1973), "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, 4, pp Miles M., R. Cole and D. Guikey (1990), "A Different Look at Commercial Real estate Returns", Journal of American Real Estate and Urban Economics Asaociation, 18, pp Peek,J. and W. (1991) "The Measurement of and Determinants of Single-Family House Prices", AREUEA Journal, Vol.19, Perron, P. (1989) "The Great Crash, The Oil Price Shock, and the Unit Root Hypothesis" Econometrica, Vol. 57, No. 6, Perron, P. (1988) "Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach" Journal of Economic Dynamics and Control, Vol. 12, Phillips, P.C.B. (1987) "Time Series Regression with a Unit Root" Econometrica, Vol. 55, No. 2, Poterba, James M. and Lawrence H. Summers (1988) "Mean Reversion In Stock Prices: Evidence And Implications," Journal of Financial Economics, Vol.22, No.1,
20 Randolph, William Lewis (1991) "Use Of The Mean Reversion Model In Predicting Stock Market Volatility," Journal of Portfolio Management, Vol.17, No.3, Richardson, D. and R. Thalheimer (1982), "On the Use of Grouping Methods in the analysis of Residential Housing Markets", Regional Science and Urban Economics, 12, pp Schnare, A. and R. Struyk (1976), "Segmenation in Urban Housing Markets", Journal of Urban Economics, 3, pp Topel,R. and Rosen,S. (1988) "Housing Investment in the United States" Journal of Political Economy, vol.96, August, Topol, R (1991) "Bubbles And Volatility Of Stock Prices: Effect Of Mimetic Contagion," The Economic Journal, Vo1.101, No.407,
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COLUMBIA UNIVERSITY GRADUATE SCHOOL OF BUSINESS. Professor Frederic S. Mishkin Fall 1999 Uris Hall 619 Extension:
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