Correlation Dynamics and Determinants in International Securitized Real Estate Markets. (20th January 2015)

• Record Type: Journal Article
• Authors: Liow, Kim Hiang; Zhou, Xiaoxia; Ye, Qing
• Is Part Of: Real estate economics. Volume 43:Number 3(2015:Autumn)
• Page Start: 537
• Page End: 585
• Publication Date: 2015-01-20
• Subjects: Real estate business -- United States -- Periodicals; Urban economics -- Periodicals; 333.33097
• DOI: 10.1111/1540-6229.12088
• Languages: English
• ISSNs: 1080-8620

Abstract

<abstract abstract-type="main"> <title> <x xml:space="preserve">Abstract</x> </title> <p>We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the period from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime switching. Moreover, international correlations of public property returns could be significantly explained by five real estate variables that include global real estate securities market volatility, co‐existence of real estate investment trust (REIT) influence, underlying direct real estate return performance differential, real estate securities volatility differential and real estate securities market size differential after controlling for macroeconomic influence and stock market effect. The importance of the control and real estate variables in explaining the return correlations varies across the economies examined.</p> </abstract>