Fractional Cointegration Relationships between the Polish, the Austrian and the USA Direct Property Markets, Securitized Property Markets and Stock Markets Price Indices

• Autorzy: Marcin Kołtuniak

Warianty tytułu

Kointegracja ułamkowa pomiędzy indeksami cenowymi rynków nieruchomości, rynków instrumentów udziałowych rynku nieruchomości oraz rynków kapitałowych w Polsce, w Austrii oraz w USA

• Języki publikacji: EN

Abstrakty

EN

The main objective of this article is to present the results of the own research, which aim was to fulfill the literature gap in the scope of the existence of the domestic and the international fractional cointegration relationships between the domestic direct property markets, the securitized property markets and the stock markets price indices in the case of the economies of Poland, of Austria and of the USA, as well as in the case of the global relationships between these markets. The main findings of the scientific research, performed using the Engle-Granger two step approach combined with the fractional integration tests, have supported the thesis that the indicated indices have not been long term mutually nonlinearly cointegrated in the period between 2005 and 2014. Simultaneously, the lack of the long run mean reversion tendency have been confirmed in the selected cases, which is inconsistent with the previously obtained, by the author, confirmations of the linear long run equlibrium reversion relationships existence between all of the considered time series, using the Johansen tests approach. (original abstract)

Celem niniejszego artykułu jest zaprezentowanie wyników własnego badania naukowego, przeprowadzonego w celu wypełnienia luki badawczej w zakresie występowania krajowej oraz międzynarodowej kointegracji ułamkowej pomiędzy indeksami cenowymi rynków nieruchomości, rynków instrumentów udziałowych rynku nieruchomości oraz rynków kapitałowych w Polsce, w Austrii oraz w USA, jak również w zakresie występowania globalnej kointegracji ułamkowej pomiędzy wskazanymi grupami rynków inwestycyjnych. Rezultaty badania, przeprowadzonego z zastosowaniem testów kointegracji ułamkowej w ramach dwustopniowej procedury estymacji równań kointegrujących Engle'a-Granger'a, wsparły hipotezę, iż wskazane indeksy cenowe nie podlegały w okresie 2005-2014 wzajemnej nieliniowej kointegracji ułamkowej. Jednocześnie, w wybranych przypadkach został potwierdzony brak tendencji powrotu do długookresowego poziomu równowagi, co stoi w sprzeczności z wynikami uprzednio przeprowadzonego badania naukowego, z zastosowaniem metodyki testu Johansena, potwierdzającymi istnienie liniowej długoterminowej kointegracji pomiędzy wszystkimi rozważanymi szeregami czasowymi zmiennych. (abstrakt oryginalny)

Słowa kluczowe

EN

Real estate market; Capital market; Price index

PL

Rynek nieruchomości; Rynek kapitałowy; Indeks cen

• Czasopismo: Współczesna Gospodarka
• Rocznik: 2016
• Tom: 7
• Numer: nr 1
• Strony: 9--21

Twórcy

autor

Marcin Kołtuniak

• Szkoła Główna Handlowa w Warszawie, doktorant

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