Foo Sing, Tien; Beng Stephanie Sng, Sook - In: Journal of Property Investment & Finance 21 (2003) 4, pp. 366-382
This study tests the hypothesis of market integration between the securitised and the unsecuritised real estate market by examining the information contents of their respective ex‐post conditional volatility measures. The two markets are said to be integrated if the conditional volatility...