LONG-RUN EQUILIBRIUM AND SHORT-TERM LINKAGES AMONG DEVELOPED PUBLIC REAL ESTATE MARKETS

Abstract

This paper studies the long-run relationship and short-term linkages between the real estate securities market of eight developed countries (US, UK, Singapore, Hong Kong, Japan, Australia, France and Germany) over a 14-year timeframe spanning from 28 June 2000 to 2 July 2014. The markets were chosen for their significant market capitalisation and important roles in the global property market while the 14-year timeframe covers the Global Financial Crisis (GFC) Period which occurred from mid-2007 till early-2009 and the Eurozone Crisis which occurred in 2010. The results of the various econometric tests analysing the long-run relationship (Johansen’s Multivariate Co-integration and Restriction Test) and short-term linkages (Granger Causality Test, Vector Error Correction Model, Variance Decomposition Test and Volatility Spillover Methodology) between the markets suggests that the eight real estate securities markets have become more interdependent since the GFC.