Co-Movements and Correlations Across Asian Securitized Real Estate and Stock Markets
Real Estate Economics, 2012
Posted: 10 Nov 2010
Date Written: November 8, 2010
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
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