id |
eres2003_203 |
authors |
Liow, Kim-Hiang; Ooi Joseph |
year |
2003 |
title |
Return and Volatility Spill overs in Securitised Real Estate Markets |
source |
10th European Real Estate Society Conference (10-13 June 2003) Helsinki, Finland |
summary |
This paper examines the dynamic relationships between four Asian property stock markets in Japan, Hongkong, Singapore and Malaysia, four European Property stock markets in UK, France, Germany and Italy; and between an equally weighted Asian and European regional property stock indices on both a long and short- term basis. Employing both Johansen multivariate cointegration analysis and extended EGARCH (1, 1) models, our results reveal that there is minimal long-term relationship between the four Asian and the four Europe property stock markets. Additionally, there is weak mean transmission and insignificant evidence of cross-volatility spillovers. The combination of these findings implies that investors would benefit from diversifying property stock portfolios internationally within Asia and Europe on both a long and short term basis. Hence the portfolio effects of international diversification through property stocks are expected to receive increasing investor interest in the international property stock markets. |
series |
ERES:conference |
email |
rstlkh@nus.edu.sg |
discussion |
No discussions.
Post discussion ...
|
ratings |
|
session |
Session 4, Securitised Real Estate 1 |
last changed |
2008/12/29 19:09 |