Integrated or segmented? a wavelet transform analysis on relationship between stock and real estate markets

Ching-chin Chou () and Show-lin Chen ()
Additional contact information
Ching-chin Chou: National Taipei University
Show-lin Chen: Dept. of Economics, Fu-Jen Catholic University

Economics Bulletin, 2011, vol. 31, issue 4, 3030-3040

Abstract: The goal of this paper is to investigate the relationship between stock and real estate markets via wavelet analysis. Based on wavelet transform, stock price index and REITs index are firstly decomposed into “volatility components”, that is, the wavelet coefficients. Secondly, we test the causality relationship between stock price index and REITs index of each subband under the concept of multi-resolution representation. The result revealed that the relationship between stock and real estates markets is neither simply segmented nor purely integrated; the behaviors would vary not only over various observation time scales but also with different REITs.

Keywords: REITS markets; stock markets; causality; wavelet transform (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2011-10-24
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P275.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-11-00559

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().