Please use this identifier to cite or link to this item: https://doi.org/10.1111/j.1540-6229.2011.00314.x
Title: Co-movements and Correlations Across Asian Securitized Real Estate and Stock Markets
Authors: Hiang Liow, K. 
Issue Date: 2012
Source: Hiang Liow, K. (2012). Co-movements and Correlations Across Asian Securitized Real Estate and Stock Markets. Real Estate Economics 40 (1) : 97-129. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1540-6229.2011.00314.x
Abstract: We find conditional real estate-stock correlations at the local, regional and global levels are time varying and asymmetric in some cases for our sample of eight Asian securitized real estate markets over 1995-2009. Real estate-global stock correlations co-move significantly and positively with real estate-regional stock correlations and real estate-local stock correlations. They are also influenced significantly by relative (real estate/stock) volatilities and their lags at three integration levels. Furthermore, real estate and stock volatilities, covariances and correlations increased from the preglobal financial crisis period to the crisis period. However, real estate and stock volatility are more important than correlation in causing the changes in covariance during both the precrisis and crisis periods. Finally, exchange rate volatility appears to have played a relatively less important role in these cross real estate-stock correlations. © 2011 American Real Estate and Urban Economics Association.
Source Title: Real Estate Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46103
ISSN: 10808620
DOI: 10.1111/j.1540-6229.2011.00314.x
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