Correlation Dynamics and Determinants in International Securitized Real Estate Markets

49 Pages Posted: 4 Aug 2015

See all articles by Kim Hiang Liow

Kim Hiang Liow

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

Xiaoxia Zhou

Shanghai University of Finance and Economics-School of Finance

Qing Ye

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

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Date Written: Fall 2015

Abstract

We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the period 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‚Äźexistence of real estate investment trust (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.

Suggested Citation

Liow, Kim Hiang and Zhou, Xiaoxia and Ye, Qing, Correlation Dynamics and Determinants in International Securitized Real Estate Markets (Fall 2015). Real Estate Economics, Vol. 43, Issue 3, pp. 537-585, 2015. Available at SSRN: https://ssrn.com/abstract=2639433 or http://dx.doi.org/10.1111/1540-6229.12088

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)

Xiaoxia Zhou

Shanghai University of Finance and Economics-School of Finance ( email )

777 Guoding Road
Shanghai, AK Shanghai 200433
China

Qing Ye

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

Singapore

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