An analysis of the long-run impact of fixed income and equity market performance on Australian and UK securitised property markets

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dc.contributor.author Cheong, Chee Seng en_US
dc.contributor.author Wilson, Patrick en_US
dc.contributor.author Zurbruegg, Ralf en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:54:30Z
dc.date.available 2010-05-28T09:54:30Z
dc.date.issued 2009 en_US
dc.identifier 2008003959 en_US
dc.identifier.citation Cheong Chee Seng, Wilson Patrick, and Zurbruegg Ralf 2009, 'An analysis of the long-run impact of fixed income and equity market performance on Australian and UK securitised property markets', Emerald Group Publishing, vol. 27, no. 3, pp. 259-276. en_US
dc.identifier.issn 1463-578X en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/10167
dc.description.abstract Purpose ? Given the mixed findings in the literature, this paper aims to re-examine the relationship that the securitised property market has with both the fixed income and general stock markets in the UK and Australia from July 1998 to June 2006. Design/methodology/approach ? The base methodology is the cointegration procedure developed by Inoue in conjunction with the procedure developed by Johansen, Gonzalo and Granger that allows the extraction of permanent and transitory driving factors underlying cointegrated systems. In Australia both listed property trusts (LPTs) and real estate management and development companies (REMDs) are studied, while in the UK the analysis is restricted to REMDs due to the fact that real estate investment trusts were only introduced in 2007, hence providing insufficiently long series. Findings ? The Inoue test reveals that ignoring structural breaks in any cointegrating system may lead to erroneous inferences. In both Australia and the UK securitised property is influenced by the general stock market in both the long- and short-term. In Australia the fixed income market does not have a permanent influence on LPTs, despite the fact that LPTs use more long-term debt than REMDs. en_US
dc.language en_US
dc.publisher Emerald Group Publishing en_US
dc.title An analysis of the long-run impact of fixed income and equity market performance on Australian and UK securitised property markets en_US
dc.parent Journal of Property Investment & Finance en_US
dc.journal.volume 27 en_US
dc.journal.number 3 en_US
dc.publocation Bradford, UK en_US
dc.identifier.startpage 259 en_US
dc.identifier.endpage 276 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000049139 en_US
dc.personcode 760135 en_US
dc.personcode 0000017322 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Australia, Interest rates, Real estate, Stock markets, United Kingdom en_US


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