Tests of integration of real estate and financial asset markets in Singapore and the Asia-Pacific counties

Abstract

This study examines the risk premium of the excess returns in the various asset markets. In the local market, we investigate the common information existing in the direct real estate markets and the financial asset markets. Using the multi-factor latent variable model, we find that there is only one common information set in the asset markets in Singapore, which is different from the findings of Liu and Mei (1992). Further more, we test the three moment asset pricing model in the securitized real estate markets in Asia-Pacific countries, including Australia, Hong Kong, Japan, Malaysia, Philippines and Singapore. We find that the skewness risk is an important factor in the asset pricing models. We also test the common information including the skewness factor with the finding that there is only one common information set within the securitized real estate markets in the Asia-Pacific countries.