This thesis examines the relationship between two property investment markets within the context of price discovery and co-integration. This thesis is different from other similar studies since the price discovery process is examined by employing a transaction based data. Using Malaysia’s property market as a case study provides this thesis with the opportunity to use transaction-based information. In addition, it has been noted that many studies on price discovery and co-integration have focused on markets that are mature and where the relevant market information is available. Since no similar information is available as far as Malaysia property market is concerned, this thesis requires the construction of a commercial property index. The construction of the index based on transaction information is a prerequisite for subsequent analyses. A hedonic method is considered for this task and the Ordinary Least Squares (OLS) estimator has been employed to produce respective indices. Vector Autoregressive as well as Engle and Granger Co-integration tests have then been employed to examine the relationship between direct and indirect markets. Findings from both analyses indicate that price discovery emerges from the indirect to the direct market. Evidence of long-run co-integration with faster adjustment towards equilibrium suggests no diversification benefit can be achieved between direct and indirect property markets. This finding reasserts the efficiency of indirect property markets in absorbing information. The originality of this thesis comes in the form of the data provided for the analysis. It has been recognised that this is not the first study to use transaction-based information. Nevertheless, the significant contribution of this thesis lies in the time-series data of direct commercial property which was developed from the market’s actual transaction information, none of which previously existed. A similar study is recommended for a mature property market that is transparent and open. Such markets seem to provide a direct property market that is much more efficient.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:553799 |
| Date | January 2011 |
| Creators | Lizam, Mohd |
| Publisher | University of Aberdeen |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=185645 |
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