THE DYNAMICS OF COMOVEMENTS AND CORRELATIONS IN PUBLIC PROPERTY MARKETS: EVIDENCE FROM GREATER CHINA AND INTERNATIONAL LINKAGES

Abstract

THIS THESIS CONDUCTS AN OVERALL STUDY ON INTERNATIONAL REAL ESTATE INVESTMENT AND LINKAGE AMONG GREATER CHINA PUBLIC REAL ESTATE MARKET WITH REAL ECONOMY AND EQUITY MARKET. FIRSTLY, USING CO-MOVEMENT BOX AND ADCC-GARCH, EMPIRICAL RESULTS DOCUMENT RELATIVE HIGHER LEVEL OF CODEPENDENCE RELATIONSHIP WITHIN GC MARKETS THAN THAT WITH OTHER FIVE REAL ESTATE MARKETS. CONTAGION EFFECT ALSO EXISTS IN INTERNATIONAL SECURITIZED PROPERTY MARKETS DURING CRISIS PERIOD. SECONDLY, THE EMPIRICAL RESULTS INDICATE THAT FIVE REAL ESTATE FACTORS ARE SIGNIFICANT IN INFLUENCING CROSS-MARKET REAL ESTATE SECURITIES RETURN CORRELATIONS IN DIFFERENT DEGREE. THIRDLY, USING BILATERAL CONCORDANCE INDEX AND A MULTILATERAL GMM BASED TEST, EMPIRICAL RESULTS INDICATE THAT MULTILATERAL PUBLIC REAL ESTATE CYCLES WITHIN GC MARKETS AND WITH OTHER FIVE REAL ESTATE MARKETS ARE ALSO STRONGLY SYNCHRONIZED. BESIDES, BUSINESS CYCLE SYNCHRONIZATION HAS AN EXPLANATION POWER FOR SECURITIZED REAL ESTATE MARKET CYCLE COHERENCE. THE