Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/221848
Title: LINKAGES IN CORRELATION AND VOLATILITY : AN INTERNATIONAL ANALYSIS
Authors: TAN ANN JOO JEWEL
Keywords: Real Estate
Dynamic conditional correlation model
Multiple regression model
Real estate securities market
Stock and real estate market linkages
Stock market
Issue Date: 28-May-2009
Citation: TAN ANN JOO JEWEL (2009-05-28T10:43:06Z). LINKAGES IN CORRELATION AND VOLATILITY : AN INTERNATIONAL ANALYSIS. ScholarBank@NUS Repository.
Abstract: Given that correlations of different financial markets are keys to international portfolio diversification and asset allocation decisions, this paper examines the relation of cross-county and cross asset stock and real estate market linkages for nine advanced economy and developed countries. We consider the correlation across stock market, across real estate market and between stock and real estate market within a country by using Dynamic Correlations and Multiple Regression Models. Different from the other studies, this study extends the period of study from 1989 to 2008. Weekly data is collected over 19 years. This research confirms lower correlations between real estate securities market returns than those between the stock market returns. Also, it shows that the correlations between stock and real estate securities market within a country are higher than the correlations of stock/real estate market between two countries. Some positive and significant connections are detected between stock/real estate securities market correlations and their respective conditional volatilities. It is expected to provide greater insights into the effectiveness of asset diversification and portfolio management. These finding will inspire investors regarding asset allocation dynamics and the role of stock and real estate securities in mixed-asset portfolios, in order to design more optimal portfolios for international stock and real estate securities. Keywords: stock market, real estate securities market, stock and real estate market linkages, volatility, dynamic conditional correlation model, multiple regression model
URI: https://scholarbank.nus.edu.sg/handle/10635/221848
Appears in Collections:Bachelor's Theses

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