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Paper eres2017_392:
Interdependence of Emerging Real Estate Markets: The GCC Experience

id eres2017_392
authors Al-Abduljader, Sulaiman
year 2017
title Interdependence of Emerging Real Estate Markets: The GCC Experience
source 24th Annual European Real Estate Society Conference in Delft, Netherlands
summary Regional interdependence among four real estate markets is tested using a variety of testing techniques. Real estate markets are represented by their respective real estate indices using monthly data spanning over ten years. Various econometric tests involving error correction models and symmetric/ asymmetric autoregressive distributed lag (ARDL) models are utilized in this study. The results reveal the absence of long-run relationships with the notion of cross-sectional efficiency. Nonetheless, evidence is found for short-run dynamic interdependence when the model allows for asymmetric responses. Regional interdependence in real estate markets have become evident in the mist of the global financial crisis in 2008. With the increased integration of economies, market liberalization and technological advances, markets in general became more interdependent than previously confirmed as witnessed in various studies such as Saunders and Walter (2002), Shen et al. (2010) and Oyedale et al. (2014). However, although many studies have investigated a series of developed and emerging markets. Iím unaware of an empirical investigation testing the GCC real estate markets especially the period following global financial crisis. This study is intended to shed light to fellow economists on the interdependence of four key real estate markets in the GCC through a series of empirical tests. Furthermore, it is of particular interest in this study to dissect the interdependence of the regional real estate markets and test its significance in both bull and bear markets. As such, an asymmetric model is specified and tested for presence or absence of asymmetry.
keywords Interdependance; diversification; regional integration; emerging markets; capital markets
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
ratings
session Real Estate Markets & Economics
last changed 2017/11/18 16:20
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