How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
We investigate the extent by which real estate markets are integrated with the world market. We apply a case-wise bootstrap analysis — a method that is robust to non-normality and increased volatility that characterises financial markets, especially during periods of distress. We also take into account the effect of the global financial crisis. Our investigation is conducted in relation to five most important and highly internationalised real estate markets, namely, the US, UK, Japan, Australia and the United Arab Emirates (UAE). We find that the first four markets are integrated with the world market — with Japan, the US, and the UK being the most integrated, but the last one is not. Our results also show that the US real estate market crisis affected the five markets differently. It made the UAE, Australia and the US real estate markets more integrated internationally but resulted in the Japanese market becoming less globally integrated. In the case of the UK, the crisis did not affect at all its level of integration with the world market.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Paul S. Mills & John Kiff, 2007. "Money for Nothing and Checks for Free; Recent Developments in U.S. Subprime Mortgage Markets," IMF Working Papers 07/188, International Monetary Fund.
- Nathaniel Frank & Heiko Hesse, 2009.
"Financial Spillovers to Emerging Markets during the Global Financial Crisis,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
- Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers 09/104, International Monetary Fund.
- Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
- Ling, David C & Naranjo, Andy, 2002. "Commercial Real Estate Return Performance: A Cross-Country Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 119-42, Jan.-Marc.
- Bond, Shaun A & Patel, Kanak, 2003. "The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 319-39, March-May.
- Kim Hiang Liow, 2006. "The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(1), pages 1-29, November.
- 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.
- 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.
- repec:arz:wpaper:eres2004_540 is not listed on IDEAS
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Abdulnasser Hatemi-J & R. Scott Hacker, 2005. "An alternative method to test for contagion with an application to the Asian financial crisis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 343-347, November.
- S. Hwang, 2004. "Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk," ERES eres2004-540, European Real Estate Society (ERES).
- anonymous, 2008. "Financial turmoil and the economy," Annual Report, Federal Reserve Bank of San Francisco, pages 6-14.
When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:37:y:2014:i:c:p:137-142. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.