Purpose: With growing interdependence between financial markets, the goal of this paper is to examine the dynamic interdependence between corporate equity and public real estate markets for the USA and a select group of seven European developed economies under a cross-country framework in...

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...

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 the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime...

In this study, we examine the dynamics of real estate local and global betas using a novel approach - wavelet analysis on nine Asia-Pacific and the US public real estate markets from January 1995 to June 2016. Specifically, Wavelets are localized in both time and scale, and can be used to filter...

We study volatility connectedness effects and market integration among the China's five financial markets: stock, real estate, bond, commodity futures and foreign exchange (currency). We use several measures of market connectedness to assess the degree of volatility connectivity shocks across...

The primary contribution of this study is to assess whether public real estate markets and stock markets are linked at the local, regional, and global levels, and to assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs of...

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,...