Long-Term Structural Price Relationships in Real Estate Markets

Posted: 18 Nov 1999

See all articles by Mukesh Chaudhry

Mukesh Chaudhry

Northern State University - Department of Finance and Economics

Rohan A. Christie-David

University of Southern Mississippi - College of Business Administration

William H. Sackley

University of North Carolina at Wilmington - Cameron School of Business - Department of Economics and Finance

Abstract

This study investigates the long-run stochastic properties of real estate assets by geographical breakdown. We also study their linkages with financial assets. The initial tests find that almost all property types exhibit the presence of nonstationarity. Thus, cointegrated methodologies are used. Structural breakpoints identified in the literature are used as a guide to divide the data into two windows, 1983-1989 and 1990-1996. The results show that real estate in the different regions exhibit a closer relationship with each other in the second period, compared with the first. Also, strong linkages between real estate regions and financial assets are noted in the second period. The South is the only region to exhibit segmentation in both periods. Overall, the information derived from our analysis sheds light on linkages among real estate assets and between real estate and financial assets and also provides a framework for creating diversified portfolios.

JEL Classification: G12, R29, R39

Suggested Citation

Chaudhry, Mukesh and Christie-David, Rohan and Sackley, William H., Long-Term Structural Price Relationships in Real Estate Markets. Available at SSRN: https://ssrn.com/abstract=186355

Mukesh Chaudhry (Contact Author)

Northern State University - Department of Finance and Economics ( email )

Aberdeen, SD 57401
United States
605-626-3001 (Phone)
605-626-2572 (Fax)

Rohan Christie-David

University of Southern Mississippi - College of Business Administration ( email )

Hattiesburg, MS 39406
United States
601-266-6612 (Phone)
601-266-4639 (Fax)

William H. Sackley

University of North Carolina at Wilmington - Cameron School of Business - Department of Economics and Finance ( email )

Wilmington, NC 28403
United States

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