Eres : Digital Library : Works

Paper eres2004_233:
Volatility, Correlation and Returns Dynamics between the US and UK Securitised Real Estate Markets

id eres2004_233
authors Wilson, Patrick; Zurbruegg, Ralf
year 2004
title Volatility, Correlation and Returns Dynamics between the US and UK Securitised Real Estate Markets
source 11th European Real Estate Society Conference (2-5 June 2004) Milano, Italy
summary This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis similar to other equity listed stocks, and as such caution should be placed on believing that the pricing dynamics of international securitised real estate markets are distinguishable from standard stocks. The synchronous results are also noticeably different to when only using close-to-close returns, which can misconstrue the true dynamics that exist between these markets. This has important implications for how property portfolio managers manage their portfolios.
series ERES:conference
email Patrick.Wilson@uts.edu.au
discussion No discussions. Post discussion ...
ratings
session Securitized Real Estate and Derivatives
last changed 2008/12/21 10:41
HOMELOGIN (you are user _anon_573181 from group guest) Powered by SciX Open Publishing Services 1.002