آیا بازارهای سهام و املاک و مستغلات در هم یکپارچه شده اند؟ مطالعه تجربی از شش اقتصاد آسیا

Rising asset prices spurred by Asia's emerging economy have drawn much attention recently. This study examines one source of growth patterns in asset prices by analyzing the integration relationship between stock markets and real estate markets in Asia. Six economies are selected for empirical analysis: China, Hong Kong, Japan, Singapore, South Korea, and Taiwan. Results show that stock markets are integrated with real estate markets in Japan, and partially integrated with real estate markets in China, Hong Kong, and Taiwan. This implies that these two investment vehicles are substitutable in China, Hong Kong, Japan, and Taiwan, and provide diversification potential for investment portfolios in South Korea and Singapore. Examining the timing of market changes, we found the real estate market leading the stock market in some countries, and the stock market leading the real estate market in others. We conclude that stock and real estate markets show a variety of inter-relationships depending on economic and political policy environments.

Real estate and stocks are important assets for most investors. The liquidity and the relationship of these two assets have often attracted the attention of both homebuyers and investors. Stock is the most convenient form of investment for many. It offers relatively high liquidity and transparency of transaction information compared with other investment vehicles. For most households, however, real estate is probably the most important and expensive asset to obtain. In Asia real estate is especially preferred, due to traditional values and to the region's high population density. Stock and real estate values are also influenced strongly by economic conditions (e.g., economic growth, inflation, interest rates, employment, financial crisis, and so on). For example, the 2008 subprime mortgage crisis that began in the U.S. had a significant negative impact on both stock and real estate prices in the six markets surveyed, as shown in Fig. 1 and Fig. 2. However, the differential effects of these conditions on these assets have repeatedly drawn the attention of investors, households, and scholars. On the one hand, if there is an integrated relationship between markets for these two assets, this implies that they are substitutable or interchangeable. Investors may be able to predict one market through observing the other's performance. On the other hand, the stock market may also react independently of real estate market due to various market conditions or government intervention, including distortions in supply or demand, taxation, supply or price control, data quality, or other transaction costs. If these two markets are segmented, investors can diversify their portfolios by holding both types of assets simultaneously. Numerous studies have explored the relationship between the stock market and the real estate market in the U.S., but results have been inconsistent, perhaps due to differences in sampling areas, sampling periods, data quality, or economic environments (Ambrose et al., 1992, Chaudhry et al., 1999, Fraser et al., 2002, Liow and Yang, 2005, Ling and Naranjo, 1999, Liu et al., 1990, Okunev and Wilson, 1997, Wilson et al., 1996 and Wilson and Okunev, 1999). Now that the emerging Asian stock and real estate markets have attracted worldwide attention, trends in the region are extensive enough to merit the same attention previously reserved for the developed economy of the U.S. This study is a preliminary examination of the relationship between Asian stock markets and real estate markets. It examines six Asian economies and the relationship between their stock and real estate markets. This is a timely subject for several reasons. First, stock and real estate markets in Asia are growing with Asian economies, especially compared with markets in most of the developed countries like the United States and most of Europe. Therefore, the relationship between these two markets is worth examining. Second, most research on stock and real estate markets in the past focused on western countries. Studies or comparative research on the Asian region are rare. This study fills this gap. Finally, with the development of the economy in the Asian regions, the growth of stock markets and real estate markets has attracted significant interest from global investors. Therefore, we attempt to discover any relationships and examine what similarities the Asian region shares with other countries. Data for this study comes from six Asian economies: China, Hong Kong, Japan, Singapore, South Korea, and Taiwan. The cointegration test proposed by Johansen, 1988 and Johansen and Juselius, 1990 is used to examine the relationship between stock markets and real estate markets in these economies from March 1995 to June 2010. If the null hypothesis of no cointegration is rejected, it indicates that these two markets can reach equilibrium in the long run, and implies that the stock market is integrated with the real estate market in these economies. Therefore, we can conclude that these two assets are good substitutes in investment allocation. Conversely, if the null hypothesis of no cointegration is accepted, segmentation between the stock market and the real estate market exists, and these two assets can be held in a portfolio for diversification purpose. If these markets show no cointegration, it is still possible that that there is nonlinear (or fractional) cointegration relationship between the two markets. We therefore employ the model proposed by Okunev and Wilson (1997) to examine possible fractional integration relationships. Finally, we study possible causal relationships between stock markets and real estate markets. This paper is organized as follows: Section 2 discusses and reviews theories and literature related to this study. Section 3 describes the data and methodology used. Section 4 presents the empirical results obtained. Section 5 presents the study's conclusions.

The swift development of Asia's economy has caused a significant appreciation of the stock and real estate markets in the Asian region and gained the attention of global investors. Therefore, we examined the integration relationship between the stock and real estate markets in China, Hong Kong, Japan, Singapore, South Korea, and Taiwan. The Johansen co-integration test was applied for examining this relationship in this study. For robustness, we also applied Okunev and Wilson's (1997) method to examine the fractional integration relationship between the stock and real estate markets in the absence of cointegration. We found that the stock market is integrated with the real estate market in Japan, but is fractionally integrated with the real estate markets in China, Hong Kong, and Taiwan. However, the stock market and real estate market is segmented in South Korea and Singapore. The former results indicate that the stock market and real estate market will reach equilibrium in the long run, and these two assets may be substitutable for investment strategy. The latter implies that it provides a diversification function for portfolio allocation. As for the causality relationship, we found that the real estate market significantly led the stock market in Singapore and Taiwan over the entire sample period. This finding indicates that real estate index may be used to forecast stock index in these two countries. Therefore, policy makers may pay attention to the development of the real estate market to prevent volatility in the stock market. In sum, we conclude that stock and real estate markets may show various inter-relationships under different economic and political policy environments according to the empirical results from these Asian economies in this study.