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The long-run diversification benefits available from investing across geographical regions and property type: evidence from cointegration tests1

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  • Tarbert, Heather

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  • Tarbert, Heather, 1998. "The long-run diversification benefits available from investing across geographical regions and property type: evidence from cointegration tests1," Economic Modelling, Elsevier, vol. 15(1), pages 49-65, January.
    • Handle: RePEc:eee:ecmode:v:15:y:1998:i:1:p:49-65
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    1. Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, vol. 38(4), pages 317-323, November.
    2. John B. Corgel & Gerald D. Gay, 1987. "Local Economic Base, Geographic Diversification, and Risk Management of Mortgage Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 256-267, September.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254, June.
    6. Roll, Richard, 1992. "Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
    7. P. Eichholtz & M. Hoesli & Bryan D. Macgregor & N. Nanthakumaran, 1994. "Real Estate Diversification: by sector or by region," ERES eres1994_108, European Real Estate Society (ERES).
    8. Mike Miles & Tom McCue, 1984. "Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 355-377, September.
    9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    10. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    11. repec:arz:wpaper:eres1994-108 is not listed on IDEAS
    12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    1. Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October.
    2. Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
    3. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    4. Laura Ryan, 2010. "Nowhere to hide: an analysis of investment opportunities in listed property markets during financial market crises," Journal of Property Research, Taylor & Francis Journals, vol. 28(2), pages 97-131, May.
    5. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    6. Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    7. John Gallo & Ying Zhang, 2010. "Global Property Market Diversification," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 458-485, November.
    8. Akoum, Ibrahim & Graham, Michael & Kivihaho, Jarno & Nikkinen, Jussi & Omran, Mohammed, 2012. "Co-movement of oil and stock prices in the GCC region: A wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 385-394.
    9. Nafeesa Yunus, 2013. "Dynamic interactions among property types," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(2), pages 135-159, March.
    10. Oikarinen, Elias, 2005. "The Diffusion of Housing Price Movements from Centre to Surrounding Areas," Discussion Papers 979, The Research Institute of the Finnish Economy.
    11. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
    12. Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc, 2016. "Real estate investment: Market volatility and optimal holding period under risk aversion," Economic Modelling, Elsevier, vol. 58(C), pages 543-555.
    13. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    14. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
    15. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 359-394.
    16. John Gallo & Chanwit Phengpis & Peggy Swanson, 2008. "Institutional flows and equity style diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 18(18), pages 1441-1450.
    17. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    18. John L. Glascock & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2018. "Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 274-302, February.
    19. J. Andrew Hansz & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2017. "An Anatomy of the Interrelationship between Equity and Mortgage REITs," International Real Estate Review, Global Social Science Institute, vol. 20(3), pages 287-324.

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