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

33 Pages Posted: 21 Feb 2012

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Date Written: Spring 2012

Abstract

We find 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 preglobal 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 precrisis and crisis periods. Finally, exchange rate volatility appears to have played a relatively less important role in these cross real estate–stock correlations.

Suggested Citation

Liow, Kim Hiang, Co‐Movements and Correlations Across Asian Securitized Real Estate and Stock Markets (Spring 2012). Real Estate Economics, Vol. 40, Issue 1, pp. 97-129, 2012. Available at SSRN: https://ssrn.com/abstract=2008601 or http://dx.doi.org/10.1111/j.1540-6229.2011.00314.x

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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