Convergence Dynamics Across International Securitized Real Estate Markets

33 Pages Posted: 16 May 2010

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Samuel C. Chua

affiliation not provided to SSRN

Date Written: April 13, 2010

Abstract

With a sample of 14 developed real estate securities markets during the study period 1993-2008, the main objective of this paper is to investigate market integration using the concepts of risk-return convergence and beta convergence. We find that international developed real estate securities markets have been moving toward greater integration in terms of increasing correlation and faster speed of convergence in returns and volatilities. However, the finding of an insignificant risk-return convergence trend also implies that the risk and return characteristics of the real estate securities markets have not become less different from each other over the study period, supporting the view that the idiosyncratic “real estate factor” and “country factor” of individual markets might have become more important over time.

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

JEL Classification: G15, G19

Suggested Citation

Liow, Kim Hiang and Chua, Samuel C., Convergence Dynamics Across International Securitized Real Estate Markets (April 13, 2010). Available at SSRN: https://ssrn.com/abstract=1588755 or http://dx.doi.org/10.2139/ssrn.1588755

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)

Samuel C. Chua

affiliation not provided to SSRN ( email )

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