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| Long-Term Dependencies and Long Run
non-Periodic Co-Cycles: Real Estate and Stock Markets Author: Patrick J. Wilson and John Okunev Start Page: 257 Abstract: The literature is not
clear on whether there are co-dependencies domestically across real estate and stock
markets, nor whether there are international co-dependencies for these asset classes,
despite the importance of this question for portfolio diversification strategies. In this
article, we use a non-linear technique to search for co-dependence over the long term. We
find no evidence to suggest long co-memories between stock and property markets in the
United States and the United Kingdom, but some evidence of this in Australia. In an
international context, if we take whole of sample period data, we find no evidence of long
co-memory effects, however if we sample on either side of the 1987 market correction we
find evidence of long co-memory. |
