Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets: A Wavelet Analysis

32 Pages Posted: 22 May 2017

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

Li Qiang

National University of Singapore (NUS)

Yuting Huang

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

Date Written: May 21, 2017

Abstract

This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US market, from January 12, 1995 through Jun 23, 2016. The empirical results indicate that both the co-movement relationship and sector’s systematic risk are time-varying and heterogeneous at different scales. We find that diversification opportunities among the real estate markets are diminishing during the two major crises, as scale increases. Moreover, the systematic risk (beta) coefficients of the real estate markets increase during the global financial crisis period and become more stable at lower frequencies. Finally, local stock market returns provide a better proxy of market portfolio for the domestic real estate markets than global stock returns. Our results highlight the importance of considering both time and scale-varying features in co-movement relationship and systematic risk assessment in Asian securitized real estate markets.

Keywords: Co-movement, systematic risk, wavelets, local stock market, global stock markets, securitized real estate markets

JEL Classification: C58, F65, G15, R30

Suggested Citation

Liow, Kim Hiang and Zhou, Xiaoxia and Qiang, Li and Huang, Yuting, Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets: A Wavelet Analysis (May 21, 2017). Available at SSRN: https://ssrn.com/abstract=2971571 or http://dx.doi.org/10.2139/ssrn.2971571

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

Li Qiang

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

Yuting Huang

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

4 Architecture Drive
Singapore 117566
Singapore

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