Sing, T F (2001) Is property stock market efficient in the weak form? Singapore's evidence. Journal of Financial Management of Property and Construction, 6(1), pp. 3-18. ISSN 1366-4387
Abstract
This paper presents evidence of long run contemporaneous relationships in Singapore’s property stock prices using cointegration methodology. The results of pair-wise cointegration tests showed that there were not more than 18% of the pair-wise combinations of property stocks that established significant long run contemporaneous relationships. The weak form efficient market hypothesis (EMH) was also not ruled out in the Johansen’s multivariate cointegration tests, where there were not more than 7 out of a total of 17 possible cointegrating equations found to be significant at a 5% level. Singapore’s property stock market is thus deemed to have an efficient fair-game trading environment. It is difficult to consistently outguess the property market, although there are still opportunities occasionally to make abnormal profit by relying on the long-term price movement of a small group of property stocks. Effective stock selection strategies could be employed to add-value to investment portfolio return in the long run by actively trading cointegrated property stocks
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Singapore, property stocks, cointegration tests, weak form efficient market hypothesis |
| Index terms: | movement, cointegration, profit, strategy, property market, evidence, methodology, Singapore |
| Subjects: | real estate economics, management, economic analysis, evaluation and assessment methods, health behaviours and lifestyles, research methods, Geography |
| Topics: | Urban Studies, Research Practice, Business Strategy, Geographical Context |
| Descriptive scope: | 4 PCTA |
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