Eres : Digital Library : Works

Paper eres2009_368:
Global and Regional Integration in European Real Estate Markets

id eres2009_368
authors Lee, Stephen
year 2009
title Global and Regional Integration in European Real Estate Markets
source 16th Annual European Real Estate Society Conference in Stockholm, Sweden
summary This paper examines the integration between nine real estate markets namely, Belgium, France, Germany, Italy, the Netherlands, Spain, Sweden, and Switzerland and the UK since 1990 using a number of innovations over previous studies. First, unlike previous studies we uses observed global and regional indices to address the difficulties of interpretation of the results of orthogonalized indexes. Second, we use weekly data in our estimation to increase the precision of the results while avoiding the bias induced by non-synchronous trading hours from the use of daily data. Finally, to reduce the impact large country returns have on market capitalised indices we use un-weighted global and regional indices. This approach should therefore provide a more accurate assessment global/regional integration of European securitised real estate market returns and reduce the possibility of spurious correlation.
keywords Global and Regional Convergence, time-varying betas
series ERES:conference
discussion No discussions. Post discussion ...
session Investment and Finance
last changed 2009/09/16 16:22
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