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Linkages Between Malaysian Housing Prices, Property Companies and Stocks

Author/s: Chyi Lin Lee, Ting Kien Hwa

Date Published: 1/01/2011

Published in: Volume 17 - 2011 Issue 2 (pages 287 - 312)

Abstract

Although the relationships between house prices, property companies and stocks have received considerable attention in developed markets, little study has been undertaken in emerging markets. Therefore this study aims to investigate the linkages between the Malaysian housing market, property companies and stocks by using a vector-autoregressive model (VAR) over the study period 1999–2009. The results reveal a uni-directional relationship between housing prices, property companies and stocks. Specifically, property companies and general stocks Granger cause the housing market, whereas there is no evidence to support that property companies and stocks will incorporate the information spillover from the housing market. These findings offered some insights into the dynamic behaviour of housing prices, particularly in a developing country context.

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Keywords

Housing Prices - Property Companies - Stocks - Var and Malaysia

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