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

34 Pages Posted: 12 Apr 2010

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Graeme Newell

Western Sydney University - School of Economics and Finance

Date Written: January 29, 2010

Abstract

This paper focuses on evidence on securitized real estate markets as it investigates the volatility spillovers and correlation dynamics among the three real estate securities markets: China, Hong Kong and Taiwan in Greater China (GC) as well as their international linkages with the US securitized real estate markets over 1995-2009. Overall, results indicate the conditional volatility linkages and correlations among the GC securitized real estate markets have outweighed those relationships with the US, implying closer real estate market integration among the GC markets. Diversification potential across the markets is still good due to lower cross-market volatility interactions and correlation. Finally, there is also evidence supporting a higher level of conditional correlation and volatility spillover index in the post Asian as well as the global financial crisis periods.

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

JEL Classification: G10, G15, G19

Suggested Citation

Liow, Kim Hiang and Newell, Graeme, Investment Dynamics of Greater China Securitized Real Estate Markets and International Linkages (January 29, 2010). Available at SSRN: https://ssrn.com/abstract=1586276 or http://dx.doi.org/10.2139/ssrn.1586276

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)

Graeme Newell

Western Sydney University - School of Economics and Finance ( email )

Locked Bag
Penrith South DC, NSW 1797
Australia

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