This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

Since the early 1970s and the seminal papers of Fama (1965, 1970), the efficient market hypothesis and its validity for several asset markets have been the topic of an uncountable number of publications in finance. The efficient market hypothesis deals with the question whether stock prices...

This paper focuses on evidence on securitized real estate markets as it investigates the volatility spillovers and correlation dynamics among the three real estate securities markets: China, Hong Kong and Taiwan in Greater China (GC) as well as their international linkages with the US...

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...

Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...

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...

With a sample of 14 developed real estate securities markets during the study period 1993-2008, the main objective of this paper is to investigate market integration using the concepts of risk-return convergence and beta convergence. We find that international developed real estate securities...

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...

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...