The Integration of Residential Real Estate Market and Stock Market: Assessment Using the ARDL Approach

Abstract

This paper examines the long-run and short-run relationship between residential real estate market and stock market in Malaysia during the period 1988-2004. Using the autoregressive distributed lag (ARDL) cointegration procedure gave results that suggest that the residential real estate and stock market are segmented. This would indicate that investors could diversify their portfolio by investing in the residential real estate and the stock market.