Please use this identifier to cite or link to this item:
|Title:||Correlation and volatility dynamics in international real estate securities markets||Authors:||Liow, K.H.
|Keywords:||Dynamic conditional correlation model
Real estate securities markets
|Issue Date:||2009||Citation:||Liow, K.H., Ho, K.H.D., Ibrahim, M.F., Chen, Z. (2009). Correlation and volatility dynamics in international real estate securities markets. Journal of Real Estate Finance and Economics 39 (2) : 202-223. ScholarBank@NUS Repository. https://doi.org/10.1007/s11146-008-9108-4||Abstract:||We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities. © 2008 Springer Science+Business Media, LLC.||Source Title:||Journal of Real Estate Finance and Economics||URI:||http://scholarbank.nus.edu.sg/handle/10635/46109||ISSN:||08955638||DOI:||10.1007/s11146-008-9108-4|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.