The research title is price discovery and efficiency of Malaysian property market and it is pursue due to the importance of property asset in the Malaysian economy. The objectives of research are to look into issues related to efficiency in the Malaysia property market between direct and indirect property investment. Issues such as market segmentation and integration will be highlighted as well as how these two markets interacted. Additionally lack of local research on this matter makes issues on market efficiency is still a question and gives an opportunity to explore further on this topic. The research will heavily rely on various econometric methods as a research procedure and due to non-existence of commercial property index, an index of commercial property market will be develop based on transaction data in various state under study. This index then will be used as a test variable against others selected micro and macro economic variables. Numbers of research has been carried out in regards to market efficiency and on the linkages between direct and indirect property market such as Wang (2000), Okunev, Wilson and Zurbruegg (2000), Toluca, Myer and Webb (2000), Chau, Macgregor and Schwann (2001), Yuming Fu and Lilian (2001), Barkham and Geltner (1995) and Newell and Chau (1996). However, their findings produced mixed result for instance Greame and Chau (1996) in their research on the linkages between direct and indirect property performance in Hong Kong find strong evidence that changes in property companies price lead changes in office and residential by one quarter. Barkham and Geltner (1995) also conclude that they found evidence of the existence of price discovery that occurred in the indirect property market. They found that in American market, price information does not fully transmit into indirect property market by a year or more whereas in U.K market direct property market is more closely and immediately linked to the indirect property market. Research on price discovery using Hong Kong real estate market data provides slightly different result. According to Chau, Macgregor and Schwann (2001) the results show that the returns to indirect real estate in Hong Kong convey little or no information about the appraisal-based return to Hong Kong real estate. They suggest that the sets of factors affecting return in the direct and indirect markets overlap but are not identical. Applying different method of measurement would also give different result. As pointed by Okunev, Wilson and Zurbruegg (2000), their research found that by using linear causality tests produce spurious result which shows causality runs from real estate to stock market, despite no evidence on any long-run linear relationship and suggest this could be due to structural breaks within time series and a nonlinear co integrative relationship between the markets. When conducting a nonlinear causality test, strong unidirectional relationship running from stock market to the real estate market is found and it is consistent with the presence of any structural breaks. They also suggest, given the nonlinear relationship between the markets, simple extrapolation will not serve much purpose and knowing that a three to six month lag period exists will only be of use if the full functional relationship between the two markets can be modeled. In the study to analyze long-term relationship among five indices, Tuluca, Myer and Webb (2000) found that price is discovered between direct and indirect real estate markets through feedback process, with the private market possibly leading the process. They suggest that due to particularity of real estate market, price discovery is a more complex process than initially believed and the definition of market efficiency is different. The differences in previous findings indicate that in depth research is required to be conducted within its local property market so that nature of relationship between direct and indirect can be understand further. Other than that, lack of research in this area in Malaysia also pose significant problem. Problem such as determination of allocation investment portfolio requires in-depth understanding of any investment market for fund manager. On the other hand, additional understanding in property market in relation with other investment market also important for policy making decision.