Advanced Search
MyIDEAS: Login to save this article or follow this journal

Investment Dynamics of the Greater China Securitized Real Estate Markets


Author Info

  • Kim Hiang Liow

    (National University of Singapore)

  • Graeme Newell

    (University of West Sydney)


This paper focuses on securitized real estate markets. It investigates simultaneously the effects of volatility spillover and conditional correlation on the cross-market relationships among three real estate securities markets, Mainland China, Hong Kong, and Taiwan in Greater China (GC), as well as their international links with the securitized real estate markets in the United States over 1995–2009. Overall, the results indicate that the three GC markets are integrated among themselves, as well as with the U.S. markets. The conditional correlations between the GC markets have outweighed their conditional correlations with the U.S. market, indicating closer integration between the GC markets due to geographical proximity and closer economic links. Moreover, higher levels of volatility spillovers and correlations are detected across all markets during the 2007 global financial crisis period. Finally, the orthogonalized real estate results indicate that unsecuritized real estate could behave differently from real estate securities in volatility interdependence and correlation relationship across the four economies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
File Function: Full text
Download Restriction: no

Bibliographic Info

Article provided by American Real Estate Society in its journal journal of Real Estate Research.

Volume (Year): 34 (2012)
Issue (Month): 3 ()
Pages: 399-428

as in new window
Handle: RePEc:jre:issued:v:34:n:3:2012:p:399-428

Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page:

Order Information:
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323

Related research


Find related papers by JEL classification:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:34:n:3:2012:p:399-428. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.