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Do securitized real estate markets jump? International evidence

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  • Li, Jie
  • Li, Guangzhong
  • Zhou, Yinggang

Abstract

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jumps exist during both crisis and non-crisis periods. There is also evidence that jump intensity over time across different markets is inversely related to the degree of economic and financial integration, yet the degree of political and social integration yields no additional explanatory power beyond these two factors.

Suggested Citation

  • Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
  • Handle: RePEc:eee:pacfin:v:31:y:2015:i:c:p:13-35
    DOI: 10.1016/j.pacfin.2014.11.001
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    References listed on IDEAS

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    2. repec:gei:jnlfer:v:4:y:2019:i:1:p:59-71 is not listed on IDEAS
    3. Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
    4. repec:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9444-z is not listed on IDEAS
    5. Rangan Gupta & Chi Keng Marco Lau & Ruipeng Liu & Hardik A. Marfatia, 2019. "Price jumps in developed stock markets: the role of monetary policy committee meetings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 298-312, April.

    More about this item

    Keywords

    International securitized real estate markets; Jump intensity; GARCH; Integration;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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