The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets
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DOI: 10.1016/j.econmod.2012.12.013
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Citations
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Cited by:
- Mokhtar, Maznita & Masih, Mansur, 2014. "Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS," MPRA Paper 56990, University Library of Munich, Germany.
- Chiang, Shu Ling & Tsai, Ming Shann, 2023. "Analyses for the effects of investor sentiment on the price adjustment behaviors for stock market and REIT market," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 425-439.
- Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.
- Mokhtar, Maznita & Masih, Mansur, 2013. "Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis," MPRA Paper 63024, University Library of Munich, Germany.
- Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
- Feng-Li Lin & Mei-Chih Wang & Hsien-Hung Kung, 2020. "Housing and Stock Market Nexus in the US," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 114-130.
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Keywords
Threshold error correction model; Cointegration; REITs; Asymmetric price adjustments;All these keywords.
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