Investment dynamics of the greater China securitized real estate markets

Kim Hiang Liow, Graeme Newell

    Research output: Contribution to journalArticlepeer-review

    26 Citations (Scopus)

    Abstract

    This paper focuses on securitized real estate markets. It investigates simultaneously the effects of volatility spillover and conditional correlation on the cross-market relationships among three real estate securities markets, Mainland China, Hong Kong, and Taiwan in Greater China (GC), as well as their international links with the securitized real estate markets in the United States over 1995–2009. Overall, the results indicate that the three GC markets are integrated among themselves, as well as with the U.S. markets. The conditional correlations between the GC markets have outweighed their conditional correlations with the U.S. market, indicating closer integration between the GC markets due to geographical proximity and closer economic links. Moreover, higher levels of volatility spillovers and correlations are detected across all markets during the 2007 global financial crisis period. Finally, the orthogonalized real estate results indicate that unsecuritized real estate could behave differently from real estate securities in volatility interdependence and correlation relationship across the four economies.
    Original languageEnglish
    Pages (from-to)399-428
    Number of pages30
    JournalJournal of Real Estate Research
    Volume34
    Issue number3
    Publication statusPublished - 2012

    Keywords

    • China
    • United States
    • real estate investment
    • real property

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