The Prospects for Geographic Diversification in UK Regional Property Investment: Implications Derived from Multivariate Cointegration Analysis
AbstractThis paper examines the short and long-term comovements among UK regional property markets over the period 1976-2001. The markets examined are London, Outer South-East, East Anglia, South West, East Midlands, West Midlands, Yorkshire and Humberside, North and North West. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant long-run causal linkages between the various UK property markets. In terms of the percentage of variance explained other regional markets are generally more important than innovations in a given region, though this is not the case for the Outer South-East which is extremely segmented from the remaining markets, as is, to a lesser extent, the North and North West. This suggests that opportunities exist for portfolio diversification in UK regional property market.
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Bibliographic InfoPaper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 111.
Date of creation: 20 Jun 2002
Date of revision:
Regional property markets; Portfolio diversification; Short and long-run relationships;
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