An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan

Tsangyao Chang, Yu-Chen Wei () and Yang-Cheng Lu ()
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Yu-Chen Wei: Department of Management of Science, National Chiao Tung University, Hsin-Chu, Taiwan
Yang-Cheng Lu: Department of Finance, Ming Chuan University, Taipei, Taiwan

Economics Bulletin, 2007, vol. 3, issue 45, 1-11

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.

JEL-codes: C3 G1 (search for similar items in EconPapers)
Date: 2007-09-19
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Citations: View citations in EconPapers (2)

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