 Are direct and indirect real estate markets integrated? Empirical evidence from IndiaR. Sharmiladevi and Swamy Perumandla International Journal of Process Management and Benchmarking, 2024, vol. 17, issue 2, 184-198 Abstract: The property market's diversity, complexity, and link to the nationwide economy have prompted a more thorough investigation into its functioning. This study aims to investigate dynamic linkage between direct and indirect real estate (RE) markets using an autoregressive distributed lag (ARDL) bounds testing cointegration approach. Further, Granger's causality test was employed to know the impact of changes in one market on the other by using on quarterly data from April 2010 to December 2022. Granger's causality test results demonstrate no unidirectional or bidirectional relationship, and the coefficient of correlation has a negative association, showing that direct and indirect RE markets are independent of one another in short-run. From ARDL bound testing, it was observed that direct and indirect RE markets are cointegrated in long-run. This implies that these two RE investment vehicles are substitutable. The study plays a vital role for the investors and portfolio managers to look at the addition of both assets in their portfolios when making well-informed portfolio selection and allocation decisions. Keywords: real estate market; autoregressive distributed lag; ARDL; cointegration; risk; return; India. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijpmbe:v:17:y:2024:i:2:p:184-198 Access Statistics for this article More articles in International Journal of Process Management and Benchmarking from Inderscience Enterprises Ltd |
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