VOLATILITY REGIME SWITCHING AND DYNAMIC RELATIONSHIP AMONG PUBLIC REAL ESTATE MARKETS

Abstract

The real estate market has experienced a number of ups and downs due to financial crises and economic globalization. This thesis consists of four empirical chapters to assess the consequences of these boom-bust cycles on the volatility and interdependence among global real estate markets from a regime-switching perspective. This thesis focuses on the major developed public real estate markets, including Australia, Hong Kong, Japan, Singapore, France, Germany, United Kingdom, Canada and United States. The sample data consists of weekly returns from July 2nd, 1992 to June 26th, 2014.