The Impact of Structural Breaks on the Integration of Property and Stock Markets in South Africa and Australia

P J Wilson, J Okunev, P G du Plessis and G Ta

Studies in Economics and Econometrics, 1998, vol. 22, issue 3, 43-70

Abstract: This paper presents tests of the Perron, Zivot and Andrews and Perron and Vogelsang, models of integration and cointegration in the presence of structural breaks. Using monthly data for stock and property markets over the period 1973 to 1997 the results suggest that these markets were not cointegrated in Australia but there is some evidence to suggest they were cointegrated in South Africa.

Date: 1998
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DOI: 10.1080/03796205.1998.12129130

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