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Paper eres2003_203:
Return and Volatility Spill overs in Securitised Real Estate Markets

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
discussion No discussions. Post discussion ...
session Session 4, Securitised Real Estate 1
last changed 2008/12/29 19:09
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