This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less long-run linkages between real estate markets in different continents. Thus, investors would benefit from broadening their investment horizon from their domestic continent to Australia, Europe, and Northern America. Furthermore, it is shown that within each region there are one or two key markets influencing neighbouring markets like Australia in the Asia-Pacific region, the U.S. in the Anglo-Saxon area, and France and the Netherlands in the EMU. Therefore it is implied, from an investor’s point of view, that it should be sufficient to focus only on these central markets. With respect to the efficient market hypothesis, the findings by cointegration analysis put some further doubt on its validity for securitized real estate markets. --
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number
09-023.
Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.