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 language | English |
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Pages (from-to) | 399-428 |
Number of pages | 30 |
Journal | Journal of Real Estate Research |
Volume | 34 |
Issue number | 3 |
Publication status | Published - 2012 |
Keywords
- China
- United States
- real estate investment
- real property