Co-Integration Test of Selected Indexes on the Share Market and Index of Housing Real Estate Prices

Abstract

The integration of financial markets is an ongoing process throughout the world. Research shows that, from Australia through Europe to the United States, the capital and real estate markets are integrating, influencing each other. Although this process seems obvious, only research can show whether it actually occurs. Identifying these relationships is important for analyzing the entire market. Many methods, such as estimating the cost of equity, have been developed with the stock market in mind. Meanwhile, real estate valuation requires the cost of equity. Market integration is the rationale for using equity market methods on the real estate market.

Keywords

• real estate market
• stock market
• co-integration test of stock and real estate
• relationship between stock and real estate
• g11
• g17
• r30
• r31
• r39