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Modeling Relationships among Securitized Property Markets, Stock Markets and Macroeconomic Variables

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  • Nafeesa Yunus

    (University of Baltimore)

Abstract

This paper investigates the dynamic interactions among securitized property markets, stock markets and key macroeconomic factors for ten developed nations throughout North America, Europe, Australia and Asia. The results indicate that each property market is co-integrated with its respective stock market and with key macroeconomic factors in the long-run and is also influenced by the overall economy in the short-run. Further analysis also reveals that, for the overwhelming majority of countries involved, shocks to the stock market, GDP, money supply and inflation induce a positive response in property returns, while shocks to long-term interest rate induce a negative response, although the extent of the response differs across countries/regions.

Suggested Citation

  • Nafeesa Yunus, 2012. "Modeling Relationships among Securitized Property Markets, Stock Markets and Macroeconomic Variables," Journal of Real Estate Research, American Real Estate Society, vol. 34(2), pages 127-156.
    • Handle: RePEc:jre:issued:v:34:n:2:2012:p:127-156
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    Citations

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    Cited by:

    1. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    2. Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2016. "Are international securitized property markets converging or diverging?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 1-10.
    3. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 567-586, May.
    4. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2021. "New test of contagion with application on the Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 564(C).
    5. Mário Nuno Mata & Muhammad Najib Razali & Sónia R. Bentes & Isabel Vieira, 2021. "Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
    6. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    7. Abel Olaleye & Benjamin Ekemode, 2014. "Integration between real estate equity and non-real estate equity," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(3), pages 244-255, April.
    8. Yuexiang Jiang & Luyuan Zheng & Jiazhen Wang, 2021. "Research on external financial risk measurement of China real estate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5472-5484, October.
    9. Hui, Eddie Chi-Man & Wang, Ziyou, 2015. "Can we predict the property cycle? A study of securitized property market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 72-87.
    10. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
    11. Mohd Yahya Mohd Hussin & Fidlizan Muhammad & Azila Abdul Razak Fatimah Salwa Abdul Hadi & Pei-Tha Gan, 2017. "The Role of Macroeconomic Variables in the Islamic Real Estate Investment Trusts (I-REIT) Market in Malaysia," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(4), pages 911-926, April.
    12. George D. Cashman & David M. Harrison & Hainan Sheng, 2015. "Political Risk and the Cost of Capital in Asia-Pacific Property Markets," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 331-364.
    13. Nafeesa Yunus, 2013. "Dynamic interactions among property types," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(2), pages 135-159, March.
    14. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Global Social Science Institute, vol. 17(2), pages 157-202.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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