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 expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US...

We find that conditional real estate-stock correlations at the local, regional and global levels are time-varying and asymmetric in some cases, for our sample of eight Asian securitized real estate markets over 1995-2009. Real estate-global stock correlations co-move significantly and positively...

In retrospect of China's increasing significance and active role in the global economy alongside with prominence in Asian economic growth, this paper investigates the relative impact of China's and US's macroeconomic factors on Asian real estate excess return performance. Although past...

This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and global levels as well as the general co-movements among the three types of correlations and their relative (real estate/stock) volatilities for a sample of eight Asian and two...

We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over the past 15 years, 1995-2009, using an econometric model that incorporates common volatility effects across the sample markets. The empirical results indicate the presence of at...