Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate

4 Architecture Drive

Singapore 117566

Singapore

  • National University of Singapore (NUS) - Department of Real Estate

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SCHOLARLY PAPERS

29

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Scholarly Papers (29)

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1.

Real Estate Return Volatilty and Systematic Risk: Evidence from International Markets

Number of pages: 27 Posted: 06 May 2005
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 592 (43,947)

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conditional returns, risk, systematic risk, real estate markets, world market, market integration

2.

Property Company Stock Price and Net Asset Value: A Mean Reversion Perspective

Journal of Real Estate Finance & Economics, Vol. 27, No. 2
Number of pages: 21 Posted: 16 Apr 2003
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 534 (50,029)

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Property stock price, Net asset value, Mean reversion, Valuation, Singapore

3.

Corporate Real Estate and Stock Market Performance (Revised)

Number of pages: 21 Posted: 25 Oct 2003
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 500 (54,358)

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Corporate real estate, composite returns, business returns, stock market performance, Singapore

4.

Net Asset Value Discounts for Asian-Pacific Real Estate Companies: Long-Run Relationships and Short-Term Dynamics

Journal of Real Estate Finance and Economics, Vol. 33, No. 4, 2006
Number of pages: 28 Posted: 27 Sep 2005
Kim Hiang Liow and Ying Li
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)
Downloads 323 (91,395)

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Asia-Pacific securitized real estate markets, net asset value discount/premium, panel unit root, panel cointegration, dynamic panel error-correction modeling

5.

Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets

Journal of Real Estate Research Vol. 26, No. 4, 2004
Number of pages: 26 Posted: 28 Dec 2006
Joseph T. L. Ooi and Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS) - Department of Real Estate
Downloads 246 (122,070)

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risk-adjusted return, real estate securities, East Asia

6.

Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 19 Posted: 12 May 2005
Kim Hiang Liow and HaiShan Yang
National University of Singapore (NUS) - Department of Real Estate and Knight Frank Ptd Ltd (Singapore)
Downloads 200 (149,193)

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7.

The Dynamics of Long Memory in Return and Volatility for International Real Estate Markets

Number of pages: 39 Posted: 28 Feb 2006
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 122 (226,299)

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long memory, real estate return, real estate volatility, fractal structure

8.

Investment Dynamics of Greater China Securitized Real Estate Markets and International Linkages

Number of pages: 34 Posted: 12 Apr 2010
Kim Hiang Liow and Graeme Newell
National University of Singapore (NUS) - Department of Real Estate and Western Sydney University - School of Economics and Finance
Downloads 98 (264,198)

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Greater China securitized real estate markets, volatility linkages, time-varying correlations, asymemetric BEKK model, global financial crisis

9.

An Assessment of the Relationship between Public Real Estate Markets and Stock Markets at the Local, Regional, and Global Levels

ZEW - Centre for European Economic Research Discussion Paper No. 11-056
Number of pages: 53 Posted: 26 Oct 2011
Kim Hiang Liow and Felix Schindler
National University of Singapore (NUS) - Department of Real Estate and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 95 (269,583)

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time-varying integration, return and volatility causality, multivariate asymmetric DCC-GARCH, return convergence, securitized real estate markets, international stock markets

10.

Regime Changes and Dynamic Linkages in Major Securitized Real Estate Markets

Number of pages: 38 Posted: 26 Jul 2007
Kim Hiang Liow and Ziwei Chen
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)
Downloads 82 (295,566)

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securitized real estate markets, multiple structural breaks, volatility regimes, multivariate regime-dependent asymmetric dynamic covariance model

11.

Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets

Downloads 71 (321,229)

Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets

Number of pages: 51 Posted: 12 Apr 2010
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 71 (324,844)

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correlations, covariance, volatility, integration, Asian securitized real estate markets, stock markets, current global financial crisis

Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets

Real Estate Economics, 2012
Posted: 10 Nov 2010
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate

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correlations, co-movements, integration, volatility, Asian securitized real estates markets, stock markets, current global financial crisis

12.

Investment Dynamics of the Greater China Securitized Real Estate Markets

Journal of Real Estate Research, Vol. 34, No. 3, 2012
Number of pages: 30 Posted: 11 Sep 2012
Kim Hiang Liow and Graeme Newell
National University of Singapore (NUS) - Department of Real Estate and Western Sydney University - School of Economics and Finance
Downloads 65 (336,741)

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Greater China, real estate securities markets, volatility spillover, conditional correlation, orthogonolization

13.

Interconnectedness and Contagion in International Real Estate Investment Trusts

Number of pages: 19 Posted: 18 May 2017
Kim Hiang Liow and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS) - Department of Real Estate
Downloads 58 (356,464)

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Volatility Connectedness, Contagion, Net Directional Connectedness Indexes, Crisis Causation, Real Estate Investment Trusts

14.

Convergence Dynamics Across International Securitized Real Estate Markets

Number of pages: 33 Posted: 16 May 2010
Kim Hiang Liow and Samuel C. Chua
National University of Singapore (NUS) - Department of Real Estate and affiliation not provided to SSRN
Downloads 48 (388,392)

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risk-return convergence, beta-convergence, international correlation, market integration, securitized real estate markets

15.

Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets: A Wavelet Analysis

Number of pages: 32 Posted: 22 May 2017
Kim Hiang Liow, Xiaoxia Zhou, Li Qiang and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate, Shanghai University of Finance and Economics-School of Finance, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Real Estate
Downloads 47 (391,797)

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Co-movement, systematic risk, wavelets, local stock market, global stock markets, securitized real estate markets

16.

The Dynamics of Volatility Connectedness and Implication for Market Integration in China's Financial Markets

Number of pages: 23 Posted: 13 Jun 2018
Kim Hiang Liow and Xiaoxia Zhou
National University of Singapore (NUS) - Department of Real Estate and Shanghai University of Finance and Economics-School of Finance
Downloads 25 (484,444)

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Financial Markets, Public Real Estate, Volatility Connectedness, Granger Causality Test, Market Integration Generalized Impulse Response Functions

17.

Which Market Has More Influence in Asia-Pacific Public Real Estate Markets? China, Japan or US?

Number of pages: 19 Posted: 13 Jun 2018
Kim Hiang Liow and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS) - Department of Real Estate
Downloads 12 (558,995)

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Dynamic Connectedness, Market Integration, Nonlinear Causality, Correlation, China, Asian Public Real Estate Markets

18.

A Wavelet-Based Study of Systematic Risk: The Public Real Estate Markets Case

Number of pages: 27 Posted: 14 Jun 2018
Kim Hiang Liow and Xiaoxia Zhou
National University of Singapore (NUS) - Department of Real Estate and Shanghai University of Finance and Economics-School of Finance
Downloads 8 (583,336)

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real estate local betas, real estate global betas, wavelets, continuous wavelet transform, local stock market, global stock market

19.

Do China or the US Macroeconomic Conditions Affect Asian Public Real Estate Markets?

Number of pages: 31 Posted: 14 Jun 2018
Kim Hiang Liow, Yuting Huang and Kai Heng Lim
National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)
Downloads 7 (589,503)

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Asia-Pacific public real estate markets, macroeconomic variables, economic policy uncertainty, non-linear causality tests, generalized impulse response functions

20.

Value Versus Growth International Real Estate Investment

Real Estate Economics, Vol. 41, Issue 1, pp. 65-101, 2013
Number of pages: 37 Posted: 26 Feb 2013
Kwame Addae‐Dapaah, James R. Webb, David Kim Hin Ho and Kim Hiang Liow
affiliation not provided to SSRN, Cleveland State University, affiliation not provided to SSRN and National University of Singapore (NUS) - Department of Real Estate
Downloads 1 (638,962)
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21.

Co‐Movements and Correlations Across Asian Securitized Real Estate and Stock Markets

Real Estate Economics, Vol. 40, Issue 1, pp. 97-129, 2012
Number of pages: 33 Posted: 21 Feb 2012
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate
Downloads 1 (638,962)
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22.

Correlation Dynamics and Determinants in International Securitized Real Estate Markets

Downloads 0 (657,040)

Correlation Dynamics and Determinants in International Securitized Real Estate Markets

Real Estate Economics, Vol. 43, Issue 3, pp. 537-585, 2015
Number of pages: 49 Posted: 04 Aug 2015
Kim Hiang Liow, Xiaoxia Zhou and Qing Ye
National University of Singapore (NUS) - Department of Real Estate, Shanghai University of Finance and Economics-School of Finance and National University of Singapore (NUS) - Department of Real Estate
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Correlation Dynamics and Determinants in International Securitized Real Estate Markets

Real Estate Economics, Forthcoming
Posted: 08 Jun 2014
Kim Hiang Liow, Xiaoxia Zhou and Ye Qing
National University of Singapore (NUS) - Department of Real Estate, Shanghai University of Finance and Economics-School of Finance and National University of Singapore (NUS) - Department of Real Estate

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real estate securities markets, correlation dependence, correlation regime, real estate factors

23.

Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?

Journal of Real Estate Finance and Economics, Vol. 47, No. 2, 2013
Posted: 22 Aug 2013
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate

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Asia-Pacific real estate securities markets, Price convergence, Volatility convergence, GARCH co-integration, Portfolio diversification, Global financial crisis

24.

Value Versus Growth International Real Estate Investment

Real Estate Economics, Forthcoming
Posted: 22 Feb 2012
Kwame Addae-Dapaah, James R. Webb, Ho (David) Kim Hin and Kim Hiang Liow
Independent, Cleveland State University, Independent and National University of Singapore (NUS) - Department of Real Estate

Abstract:

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Value investment strategy, value properties, growth properties, beta premium, beta premium sensitivity, value premium

25.

Mean Reversion of Singapore Property Stock Prices Towards Their Fundamental Values

Journal of Property Investment and Finance, Vol. 20, No. 4, pp. 374-387, 2002
Posted: 23 Jan 2011 Last Revised: 25 Jan 2011
Tien Foo Sing, Kim Hiang Liow and Lanz Chan
National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) - Department of Real Estate and Finamatrix Investments Pte. Ltd.

Abstract:

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Property, Value, Singapore

26.

Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 42, No. 3, 2011
Posted: 27 Oct 2010
Kim Hiang Liow and Zhiwei Chen
National University of Singapore (NUS) - Department of Real Estate and affiliation not provided to SSRN

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Multiple structural breaks; Conditional volatility; Multivariate regime-dependent asymmetric dynamic covariance model; Securitized real estate markets; Dynamic risk-minimizing hedge ratio

27.

Volatility Decomposition and Correlation in International Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010
Posted: 12 Nov 2009
Kim Hiang Liow and Muhammad Ibrahim
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)

Abstract:

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permanent volatility, transitory volatility, Component-GARCH model, correlation, securitized real estate markets

28.

Long-Term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 39, No. 4, 2009
Posted: 05 Aug 2009
Kim Hiang Liow
National University of Singapore (NUS) - Department of Real Estate

Abstract:

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long memory volatility, fractional differencing, conditional variance, securitized real estate markets, market efficiency

29.

Correlation and Volatility Dynamics in International Real Estate Securities Markets

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Posted: 20 Jul 2009 Last Revised: 10 Nov 2009
Kim Hiang Liow, Ho (David) Kim Hin, Muhammad Ibrahim and Ziwei Chen
National University of Singapore (NUS) - Department of Real Estate, Independent, National University of Singapore (NUS) and National University of Singapore (NUS)

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time-varying correlation, volatility, dynamic conditional correlation model, real estate securities markets, stock markets