Polish Version
Marcin Kołtuniak
Summary
The main objective of this article is to present the results of the own research,
which aim was to fulfill the literature gap in the scope of the existence of the domestic and the international fractional cointegration relationships between the domestic direct property markets, the securitized property markets and the stock markets price indices
in the case of the economies of Poland, of Austria and of the USA, as well as in the case of the global relationships between these markets. The main findings of the scientific research, performed using the Engle-Granger two step approach combined
with the fractional integration tests, have supported the thesis that the indicated indices have not been long term mutually nonlinearly cointegrated in the period between 2005
and 2014. Simultaneously, the lack of the long run mean reversion tendency have been confirmed in the selected cases, which is inconsistent with the previously obtained,
by the author, confirmations of the linear long run equlibrium reversion relationships existence between all of the considered time series, using the Johansen tests approach.
Article
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