Please use this identifier to cite or link to this item: https://doi.org/10.1080/09599916.2010.500872
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dc.titleIntegration among USA, UK, Japanese and Australian securitised real estate markets: An empirical exploration
dc.contributor.authorLiow, K.H.
dc.date.accessioned2013-10-14T05:09:39Z
dc.date.available2013-10-14T05:09:39Z
dc.date.issued2010
dc.identifier.citationLiow, 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. https://doi.org/10.1080/09599916.2010.500872
dc.identifier.issn09599916
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46169
dc.description.abstractWe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1080/09599916.2010.500872
dc.sourceScopus
dc.subjectDynamic conditional correlation
dc.subjectMarket integration
dc.subjectPortfolio diversification
dc.subjectSecuritised real estate markets
dc.subjectVolatility beta
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1080/09599916.2010.500872
dc.description.sourcetitleJournal of Property Research
dc.description.volume27
dc.description.issue4
dc.description.page289-308
dc.identifier.isiut000415476500001
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