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Information and volatility linkages between real estate, equity, bond and money markets in Australia

Justine Wang (School of Business, Excelsia College, Sydney, Australia)
Mark Tomlins (Trim Capital Pty Ltd, Sydney, Australia)
Piyush Tiwari (Faculty of Architecture, Building and Planning, University of Melbourne, Melbourne, Australia)

International Journal of Housing Markets and Analysis

ISSN: 1753-8270

Article publication date: 29 March 2022

Issue publication date: 28 February 2023




The purpose of this paper is to examine information and volatility linkages among real estate, equity, bond and money markets in Australia.


A novel rational expectations framework of financial contagion (Kodres and Pritsker, 2002), along with a combination of robust statistical methods including simple and dynamic correlations and generalized impulse response (Fereidouni et al., 2014) have been employed using data covering three dynamic pre-pandemic economic cycles, namely, global financial crisis (GFC) period, pre-pandemic housing boom and pre-pandemic housing downturn from 2008 (February) to 2019 (December).


Results reveal information linkages across real estate, equity, bond and money markets through correlations in return and volatilities of these series. Finding indicates that the three financial markets (equity, bond and money markets) are interdependent and integrated through information and volatility linkages during the GFC period and pre-pandemic housing downturn period. Financial markets have stronger associations with real estate market during pre-pandemic housing boom. The findings contribute to the general notion that the performances of three financial markets are closely related to the “boom” phase of the real estate cycle.


This research provides an extension of existing literature regarding the information and volatility contagion of the expanded set of core investment markets in Australia. The findings could assist household buyers and investors in designing strategic investment portfolios/hedging strategies and minimizing asset specific risks through diversification over short-term and long-term. In addition, results could support the maintenance, growth and development of a combination of competitive balanced investment markets including real estate, equity, bond and money markets in post-pandemic economy.



Wang, J., Tomlins, M. and Tiwari, P. (2023), "Information and volatility linkages between real estate, equity, bond and money markets in Australia", International Journal of Housing Markets and Analysis, Vol. 16 No. 2, pp. 292-317.



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