Correlation and Volatility Dynamics in International Real Estate Securities Markets

Posted: 20 Jul 2009 Last revised: 10 Nov 2009

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Ho (David) Kim Hin

Independent

Muhammad Ibrahim

National University of Singapore (NUS)

Ziwei Chen

National University of Singapore (NUS)

Date Written: July 17, 2009

Abstract

We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.

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

Suggested Citation

Liow, Kim Hiang and Hin, Ho (David) Kim and Ibrahim, Muhammad and Chen, Ziwei, Correlation and Volatility Dynamics in International Real Estate Securities Markets (July 17, 2009). Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009. Available at SSRN: https://ssrn.com/abstract=1435453

Kim Hiang Liow (Contact Author)

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

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

Ho (David) Kim Hin

Independent ( email )

No Address Available

Muhammad Ibrahim

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

Ziwei Chen

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

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