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Title: Integration among USA, UK, Japanese and Australian securitised real estate markets: An empirical exploration
Authors: Liow, K.H. 
Keywords: Dynamic conditional correlation
Market integration
Portfolio diversification
Securitised real estate markets
Volatility beta
Issue Date: 2010
Citation: Liow, K.H. (2010). Integration among USA, UK, Japanese and Australian securitised real estate markets: An empirical exploration. Journal of Property Research 27 (4) : 289-308. ScholarBank@NUS Repository.
Abstract: We empirically explore integration among US, UK, Japanese and Australian securitised real estate markets and their interdependencies from the global stock market based on dynamic conditional correlation analysis and conditional return volatility beta methodology. Results imply that international links have been increasing over time, especially for the largest securitised real estate markets and the global stock market, although their integration process has been much slower than among the corresponding stock markets and from the global stock market. In addition, the conditional return-volatility beta analyses indicate the four real estate securities markets do not share the same volatility process. Our analyses and results have important implications for international real estate portfolio diversification. © 2010 Taylor & Francis.
Source Title: Journal of Property Research
ISSN: 09599916
DOI: 10.1080/09599916.2010.500872
Appears in Collections:Staff Publications

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