Do Securitized Real Estate Markets Jump? International Evidence

46 Pages Posted: 6 Nov 2014

See all articles by Jie Li

Jie Li

Jinan University - Institute of Industrial Economics

Guangzhong Li

Sun Yat-Sen Business School, Sun Yat-Sen University

Yinggang Zhou

Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

Date Written: November 6, 2014

Abstract

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jumps exist during both crisis and non-crisis periods. There is also evidence that jump intensity over time across different markets is inversely related to the degree of economic and financial integration, yet the degree of political and social integration yields no additional explanatory power beyond these two factors.

Keywords: international securitized real estate markets, jump intensity, GARCH, integration

JEL Classification: C2, C5, G15

Suggested Citation

Li, Jie and Li, Guangzhong and Zhou, Yinggang, Do Securitized Real Estate Markets Jump? International Evidence (November 6, 2014). Pacific-Basin Finance Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2519911

Jie Li

Jinan University - Institute of Industrial Economics

Guangdong
China

Guangzhong Li (Contact Author)

Sun Yat-Sen Business School, Sun Yat-Sen University ( email )

135 Xingang Xi Road
Guangzhou, Guangdong 510275
China

Yinggang Zhou

Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University ( email )

A403 Economic Building, Xiamen University
Xiamen, 361005
China

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