Linkages Between International Securitized Real Estate Markets: Further Evidence from Time-Varying and Stochastic Cointegration

79 Pages Posted: 25 Aug 2010

See all articles by Felix Schindler

Felix Schindler

Steinbeis University Berlin - Center for Real Estate Studies; ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management

Svitlana Voronkova

Centre for European Economic Research (ZEW)

Date Written: 2010

Abstract

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this paper is of significant contribution to existing studies since we compare results from different cointegration methodologies and explicitly control for instability in cointegration relationships and deviations from normality. Furthermore, the analyzed time period is longer than in previous studies and ranges from 1990 to 2009 covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between national real estate stock markets. However, it is also shown that most cointegration relationships are unstable and that the results from cointegration methodologies suggested by Engle and Granger (1987) and Johansen (1988) might be misleading in that common long-run comovements appear to be stronger when structural breaks are considered. Thus, the results indicate that investors would benefit from broadening their investment horizon from their domestic continent to international markets. This particularly applies for the European securitized real estate markets.

Keywords: International Securitized Real Estate Markets, Diversification, Time-Varying Cointegration, Stochastic Cointegration

JEL Classification: C22, C11, G14

Suggested Citation

Schindler, Felix and Voronkova, Svitlana, Linkages Between International Securitized Real Estate Markets: Further Evidence from Time-Varying and Stochastic Cointegration (2010). ZEW - Centre for European Economic Research Discussion Paper No. 10-051. Available at SSRN: https://ssrn.com/abstract=1663635 or http://dx.doi.org/10.2139/ssrn.1663635

Felix Schindler (Contact Author)

Steinbeis University Berlin - Center for Real Estate Studies ( email )

Berlin
Germany

ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management ( email )

Postfach 103443
Mannheim, D-68034
Germany

Svitlana Voronkova

Centre for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

HOME PAGE: http://www.zew.de/de/mitarbeiter/mitarbeiter.php3?action=mita&kurz=sva

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