Please use this identifier to cite or link to this item: https://doi.org/10.1108/14635780510575094
DC FieldValue
dc.titleCross-market dynamics in property stock markets: Some international evidence
dc.contributor.authorLiow, K.H.
dc.contributor.authorOoi, J.
dc.contributor.authorGong, Y.
dc.date.accessioned2013-10-14T05:08:08Z
dc.date.available2013-10-14T05:08:08Z
dc.date.issued2005
dc.identifier.citationLiow, K.H., Ooi, J., Gong, Y. (2005). Cross-market dynamics in property stock markets: Some international evidence. Journal of Property Investment and Finance 23 (1) : 55-75. ScholarBank@NUS Repository. https://doi.org/10.1108/14635780510575094
dc.identifier.issn1463578X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46111
dc.description.abstractPurpose - Aims to investigate the long-run and short-term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European property stock markets of UK, France, Germany and Italy. Additionally, aims to examine the relationships between equally-weighted Asian and European regional property stock indices. Design/methodology/approach - The long-term analysis is undertaken using Johansen multivariate cointegration approach. The degree of short-term dependence is investigated with an extended EGARCH model for evidence of mean and volatility spillovers across the property stock markets. Findings - The combined findings of minimal cointegration, weak mean transmission and lack of significant evidence of cross-volatility spillovers among the Asian and European property stock markets imply that investors would benefit from diversifying property stock portfolios internationally in Asia and Europe in the short- and long-run. Originality/value - This study contributes significantly to the empirical literature on capital asset pricing and on the risk-return performance of international real estate. In particular, the findings from the study will be useful for European investors to understand better the potential portfolio implications of investing in Asian real estate. © Emerald Group Publishing Limited.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1108/14635780510575094
dc.sourceScopus
dc.subjectEurope
dc.subjectJapan
dc.subjectMultivariate analysis
dc.subjectProperty
dc.subjectSouth East Asia
dc.subjectStock markets
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1108/14635780510575094
dc.description.sourcetitleJournal of Property Investment and Finance
dc.description.volume23
dc.description.issue1
dc.description.page55-75
dc.identifier.isiut000212792500006
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