Correlation Dynamics and Determinants in International Securitized Real Estate Markets
Real Estate Economics, Forthcoming
Posted: 8 Jun 2014
Date Written: May 30, 2014
We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime switching. Moreover, international correlations of public property returns could be significantly explained by five real estate variables that include global real estate securities market volatility, co-existence of REIT influence, underlying direct real estate return performance differential, real estate securities volatility differential and real estate securities market size differential after controlling for macroeconomic influence and stock market effect. The importance of the control and real estate variables in explaining the return correlations varies across the economies examined.
Keywords: real estate securities markets, correlation dependence, correlation regime, real estate factors
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