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

51 Pages Posted: 12 Apr 2010

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Multiple version iconThere are 2 versions of this paper

Date Written: October 29, 2009

Abstract

This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and global levels as well as the general co-movements among the three types of correlations and their relative (real estate/stock) volatilities for a sample of eight Asian and two non-Asian securitized real estate markets during 1995-2008. We find real estate-stock correlations at the three levels do not display significant upward trending behavior. There is evidence of the existence and significance of some common factors influencing the real estate-stock correlation structures along the three integration paths. Our analysis is also extended to the current global financial crisis to assess the relative contribution of the correlation and volatility factors in influencing the respective covariance structures. The dynamic analyses of real estate-stock conditional correlations are crucial in identifying the optimal real estate-stock portfolio of investors across different economies with non-uniform degrees of real estate-stock integration at the local, regional and global levels.

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

JEL Classification: JELG10, G15, G19

Suggested Citation

Liow, Kim Hiang, Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets (October 29, 2009). Available at SSRN: https://ssrn.com/abstract=1586275 or http://dx.doi.org/10.2139/ssrn.1586275

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)

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