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Title: An assessment of international real estate securities market integration.
Keywords: Real Estate Securities, Market Integration, Volatility Spillover, Dynamic Correlation
Issue Date: 20-Aug-2010
Citation: LIU JINGRAN (2010-08-20). An assessment of international real estate securities market integration.. ScholarBank@NUS Repository.
Abstract: Over the past two decades, international real estate securities markets have undergone an extremely huge development and rapid growth. The investigation on market integration is paramount for investors to adjust portfolio and avoid risk. Previous research has examination extensively on common stock markets. This study focus on securitized property markets and cover 9 countries ( Japan, Hong Kong, Singapore, Australia, UK, France, Germany, Netherland and US) in 3 regions (Asia, Europe and US) from July, 1992 to March, 2010. The time period incorporate Asian Financial crisis and Global Financial Crisis. Market integration is examined in two aspects in this research ? volatility transmission and dynamic correlation. Several dynamic econometric methodologies ? VAR-BEKK-GJR model, Volatility Threshold Asymmetric Dynamic Conditional Correlation (VT-ADCC) model and Bai and Perron (BP) test are applied in order to investigate the international securitized real estate returns and risks focus on volatility transmission and dynamic correlation analysis. The empirical result supports the world-wide market integration and US is the biggest volatility producer in major international real estate securities markets. For European market, the suffered a lot from global financial crisis and receive volatility transmission from US. For Asia-Pacific region, they take over volatility spillovers from both US and European markets with little feedback. Australia performs more independent with other Asian markets. In terms of dynamic correlation in securitized real estate markets, the results indicate the correlation performs differently in especially high volatility period between cross-region pairs and within-region pairs. In crisis, the correlation of cross-region pairs would be decreased, they response differently on extreme high volatility. Within a specific region, either Asia or Europe, the correlation would increase when volatility is very high, they have strengthened co-movement. The volatility transmission and dynamic correlation analysis results would have important implication for international portfolio diversification and asset allocation.
Appears in Collections:Master's Theses (Open)

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