Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?

Posted: 22 Aug 2013

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Date Written: August 21, 2013

Abstract

We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over the past 15 years, 1995-2009, using an econometric model that incorporates common volatility effects across the sample markets. The empirical results indicate the presence of at least one common variance component, and thus partial volatility convergence, among the sample Asia real estate securities markets. During the global financial crisis period, some real estate securities markets are co-integrated in both their first and second moments and demonstrate partial price and volatility convergence. Our analysis that focuses in capturing the common roots in the second moment whilst accounting for time-varying variance has important implications for international real estate portfolio investment.

Keywords: Asia-Pacific real estate securities markets, Price convergence, Volatility convergence, GARCH co-integration, Portfolio diversification, Global financial crisis

Suggested Citation

Liow, Kim Hiang, Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets? (August 21, 2013). Journal of Real Estate Finance and Economics, Vol. 47, No. 2, 2013. Available at SSRN: https://ssrn.com/abstract=2313843

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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