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

Real Estate Economics, 2012

Posted: 10 Nov 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: November 8, 2010

Abstract

We find that conditional real estate-stock correlations at the local, regional and global levels are time-varying and asymmetric in some cases, for our sample of eight Asian securitized real estate markets over 1995-2009. Real estate-global stock correlations co-move significantly and positively with real estate-regional stock correlations and real estate-local stock correlations. They are also influenced significantly by relative (real estate/stock) volatilities and their lags at three integration levels. Furthermore real estate and stock volatilities, covariances and correlations increased from the pre-global financial crisis period to the crisis period. However real estate and stock volatility are more important than correlation in causing the changes in covariance during both the pre-crisis and crisis periods. Finally, exchange rate volatility appears to have played a relatively less important role in these cross real estate-stock correlations.

Keywords: correlations, co-movements, integration, volatility, Asian securitized real estates markets, stock markets, current global financial crisis

Suggested Citation

Liow, Kim Hiang, Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets (November 8, 2010). Real Estate Economics, 2012. Available at SSRN: https://ssrn.com/abstract=1705624

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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