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dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorS. Yaya, OlaOluwa
dc.contributor.authorAkinsomi, Omokolade
dc.contributor.authorCoskun, Yener
dc.date.accessioned2021-02-24T13:31:53Z
dc.date.available2021-02-24T13:31:53Z
dc.date.issued2020
dc.identifier.issn1059-0560spa
dc.identifier.urihttp://hdl.handle.net/10641/2231
dc.description.abstractThis 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.spa
dc.language.isoengspa
dc.publisherInternational Review of Economics and Financespa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectCredit and wealth effectsspa
dc.subjectFractional integrationspa
dc.subjectFractional cointegrationspa
dc.subjectBRICSspa
dc.subjectCountriesspa
dc.subjectReal estate indicesspa
dc.titleHow do Stocks in BRICS co-move with Real Estate Stocks?spa
dc.typearticlespa
dc.description.versionpre-printspa
dc.rights.accessRightsopenAccessspa
dc.description.extent406 KBspa
dc.identifier.doi10.1016/j.iref.2020.04.014spa
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/abs/pii/S1059056020300836spa


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Atribución-NoComercial-SinDerivadas 3.0 España
Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 3.0 España