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Paper eres2005_232:
International Real Estate Market Integration and Price Discovery: Evidence from Nonlinear Cointegration Analysis

id eres2005_232
authors Krystalogianni, Alexandra and George Matysiak
year 2005
title International Real Estate Market Integration and Price Discovery: Evidence from Nonlinear Cointegration Analysis
source Book of Abstracts: 2005 European Real Estate Society conference in association with the International Real Estate Society
summary This paper employs newly developed techniques of nonlinear cointegration analysis to study international real estate market integration and price discovery. The countries considered in this study are UK, USA, Netherlands and France. Direct (NCREIF, IPD) and indirect (EPRA) real estate price indexes are used in both linear and nonlinear cointegration tests on bivariate and a variety of multivariate models. The objective is two-fold: a) to examine whether there is price discovery between the direct and indirect real estate market b) to determine the degree of integration between international real estate markets. The models will be evaluated within a portfolio investment framework. Much more evidence of market integration emerges from nonlinear cointegration analysis than linear analysis. It appears, therefore, that many of the conclusions reached in prior work that have used traditional methodologies need to be reconsidered. The degree of market integration has significant implications for portfolio investment where managers seek to develop well diversified portfolios.
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session Session I2
last changed 2008/11/01 09:47
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