Return and Volatility Spill overs in Securitised Real Estate Markets
||Liow, Kim-Hiang; Ooi Joseph
||Return and Volatility Spill overs in Securitised Real Estate Markets
||10th European Real Estate Society Conference (10-13 June 2003) Helsinki, Finland
||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.
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||Session 4, Securitised Real Estate 1
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