Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Do the Stock Market and the Commercial Real Estate Market Cointegrate?: A Study for Sweden
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In recent years, investors have become more concerned about where they invest their capital and how to spread the risk among different asset types. The interest in commercial real estates has increased as this market is seen as less volatile than the stock market. Previous research for other economies has found that the commercial real estate market and the stock market do not cointegrate. Therefore it is possible to invest in both asset classes to create diversified portfolios. This thesis examines if such cointegration relationship exist on the Swedish market. Furthermore, the thesis examines the correlation and the lead-lag relationship between the two asset classes.

The observed data is quarterly between the years 1994-2013 and the indices used are OMX Stockholm, sold multi-dwelling and commercial buildings, and sold manufacturers industries. To examine if there exist any cointegration between the indices the Engle-Granger 2-step method is used and the lead-lag relationship is tested by using the Granger Causality test.

The results from the different tests do not show any short- or long-term relationship between the Swedish stock market and the Swedish commercial real estate market, neither do the assets show any lead-lag relationship. This means that the portfolio risk decreases and it is therefore possible for investors to diversify their portfolios with both short- and long-term time horizons.

Place, publisher, year, edition, pages
2014. , 60 p.
Keyword [en]
Cointegration, causality, correlation, commercial real estate market, stock market, diversification
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-23995OAI: oai:DiVA.org:hj-23995DiVA: diva2:721688
Subject / course
IHH, Business Administration
Supervisors
Examiners
Available from: 2014-06-13 Created: 2014-06-04 Last updated: 2014-06-13Bibliographically approved

Open Access in DiVA

Do the Stock Market and the Commercial Real Estate Market Cointegrate?(1179 kB)342 downloads
File information
File name FULLTEXT01.pdfFile size 1179 kBChecksum SHA-512
2dede242644b5cbd9d715ebfbf366abb266ea13e489b8a8451a9006dcbfdf4d0c20c4b5a0d1f266e0637a50c54d93172f88c2a73cd0e5707cbab0843e98d7104
Type fulltextMimetype application/pdf

By organisation
JIBS, Economics, Finance and Statistics
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 342 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 259 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf