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Title: Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets
Authors: Kiohos, Apostolos
Babalos, Vassilios
Koulakiotis, Athanasios
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Keywords: risk analysis
Issue Date: 2017
Source: Finance Research Letters
Volume: 20
First Page: 217
Last Page: 222
Abstract: Employing an innovative ECM-ARFIMA methodology, we set out to explore the dynamic interdependence of stock and securitized real estate markets for two developed western economies that exhibit different characteristics. The empirical analysis ran from 2/1/1990 to 13/06/2014. Our results provide support to the ‘wealth effect’ and to the fractional integration process in both countries. It is clear that non-linear co-integration, co-memory, long-run and short-run adjustment dynamics are fundamental concepts in understanding market integration/segmentation. Our findings entail significant implications for policymakers, market regulators and investors.
ISSN: 1544-6123
Other Identifiers: 10.1016/
Appears in Collections:Department of International and European Studies

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