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Long-term benefits from investing in international real estate
Schindler, Felix - 2009
bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … doubt on its validity for securitized real estate markets. -- Cointegration ; Correlation Analysis ; Diversification …
Persistent link: https://www.econbiz.de/10003846077
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Convergence Dynamics Across International Securitized Real Estate Markets
Liow, Kim Hiang - 2010
increasing correlation and faster speed of convergence in returns and volatilities. However, the finding of an insignificant risk …
Persistent link: https://www.econbiz.de/10013144851
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Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration
Schindler, Felix; Voronkova, Svitlana - 2010
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...
Persistent link: https://www.econbiz.de/10008652070
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Do Securitized Real Estate Markets Jump? International Evidence
Li, Jie - 2014
We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...
Persistent link: https://www.econbiz.de/10013044490
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Is There Really Any Contagion Among Major Equity and Securitized Real Estate Markets?
Hui, Eddie - 2018
This study examines contagion across general equity and securitized real estate markets of China, Hong Kong and the US during Chinese financial crisis. This is the first study to combine the case-resampling bootstrap method with the coskewness and cokurtosis test. Thus the new method works well...
Persistent link: https://www.econbiz.de/10012920153
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Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?
Liow, Kim Hiang - 2013
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...
Persistent link: https://www.econbiz.de/10013077414
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Linkages Between International Securitized Real Estate Markets : Further Evidence from Time-Varying and Stochastic Cointegration
Schindler, Felix; Voronkova, Svitlana - 2010
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...
Persistent link: https://www.econbiz.de/10014192135
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Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets
Liow, Kim Hiang; Chen, Zhiwei - 2010
We examine the dynamics and transmission of conditional volatilities with multiple structural changes in return volatility using Bai and Perron (2003)'s methodology, across five major securitized real estate markets as well as employing a multivariate regime-dependent asymmetric dynamic...
Persistent link: https://www.econbiz.de/10014189742
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Correlation and Volatility Dynamics in International Real Estate Securities Markets
Liow, Kim Hiang - 2009
We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly … returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample … volatilities. We also find the international correlation structure of real estate securities and the broader stock market are …
Persistent link: https://www.econbiz.de/10013157935
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U.S. Monetary Policy Surprises and International Securitized Real Estate Markets
Xu, Tracy - 2009
This paper examines the impact of U.S. monetary policy surprises on securitized real estate markets in 18 countries. The policy surprises are measured by both the surprise changes to the target federal funds rate (the target factor) and surprises in the future direction of the Federal Reserve...
Persistent link: https://www.econbiz.de/10013155480