Return and Volatility Spill overs in Securitised Real Estate Markets

This paper examines the dynamic relationships between four Asian property stock markets in Japan, Hongkong, Singapore and Malaysia, four European Property stock markets in UK, France, Germany and Italy; and between an equally weighted Asian and European regional property stock indices on both a long and short- term basis. Employing both Johansen multivariate cointegration analysis and extended EGARCH (1, 1) models, our results reveal that there is minimal long-term relationship between the four Asian and the four Europe property stock markets. Additionally, there is weak mean transmission and insignificant evidence of cross-volatility spillovers. The combination of these findings implies that investors would benefit from diversifying property stock portfolios internationally within Asia and Europe on both a long and short term basis. Hence the portfolio effects of international diversification through property stocks are expected to receive increasing investor interest in the international property stock markets.