Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-008-9108-4
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dc.titleCorrelation and volatility dynamics in international real estate securities markets
dc.contributor.authorLiow, K.H.
dc.contributor.authorHo, K.H.D.
dc.contributor.authorIbrahim, M.F.
dc.contributor.authorChen, Z.
dc.date.accessioned2013-10-14T05:08:05Z
dc.date.available2013-10-14T05:08:05Z
dc.date.issued2009
dc.identifier.citationLiow, 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
dc.identifier.issn08955638
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46109
dc.description.abstractWe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s11146-008-9108-4
dc.sourceScopus
dc.subjectDynamic conditional correlation model
dc.subjectReal estate securities markets
dc.subjectStock markets
dc.subjectTime-varying correlation
dc.subjectVolatility
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1007/s11146-008-9108-4
dc.description.sourcetitleJournal of Real Estate Finance and Economics
dc.description.volume39
dc.description.issue2
dc.description.page202-223
dc.identifier.isiut000267828100006
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