Investment Dynamics of the Greater China Securitized Real Estate Markets

30 Pages Posted: 11 Sep 2012

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Graeme Newell

Western Sydney University - School of Economics and Finance

Date Written: September 10, 2012

Abstract

This paper focuses on securitized real estate markets. It investigates simultaneously the effects of volatility spillover and conditional correlation on the cross-market relationships among three real estate securities markets, Mainland China, Hong Kong, and Taiwan in Greater China (GC), as well as their international links with the securitized real estate markets in the United States over 1995-2009. Overall, the results indicate that the three GC markets are integrated among themselves, as well as with the U.S. markets. The conditional correlations between the GC markets have outweighed their conditional correlations with the U.S. market, indicating closer integration between the GC markets due to geographical proximity and closer economic links. Moreover, higher levels of volatility spillovers and correlations are detected across all markets during the 2007 global financial crisis period. Finally, the orthogonalized real estate results indicate that unsecuritized real estate could behave differently from real estate securities in volatility interdependence and correlation relationship across the four economies.

Keywords: Greater China, real estate securities markets, volatility spillover, conditional correlation, orthogonolization

Suggested Citation

Liow, Kim Hiang and Newell, Graeme, Investment Dynamics of the Greater China Securitized Real Estate Markets (September 10, 2012). Journal of Real Estate Research, Vol. 34, No. 3, 2012. Available at SSRN: https://ssrn.com/abstract=2144287

Kim Hiang Liow

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

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

Graeme Newell (Contact Author)

Western Sydney University - School of Economics and Finance ( email )

Locked Bag
Penrith South DC, NSW 1797
Australia

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