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- W3021800516 abstract "This paper investigates BRICS markets’ integration and segmentation between real estate indices and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at market efficiency and bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1 implying the possibility of markets to be efficient. However, we do not find any evidence suggesting long run equilibrium relationships between the real estate stock indices and the stocks indices. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia." @default.
- W3021800516 created "2020-05-13" @default.
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- W3021800516 date "2020-09-01" @default.
- W3021800516 modified "2023-10-18" @default.
- W3021800516 title "How do stocks in BRICS co-move with real estate stocks?" @default.
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- W3021800516 doi "https://doi.org/10.1016/j.iref.2020.04.014" @default.
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