The aim of this paper was to examine the relationship between changes in the US and China macroeconomic conditions and the excess returns of nine Asian-Pacific public real estate markets (Singapore, Indonesia, Malaysia, the Philippines, Thailand, Australia, Taiwan, Hong Kong, and Japan). We...

This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally,...

This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in...