Long-Term Benegits from Investing in International Securitized Real Estate
This paper analyzes long- and short-term co-movements between 14 international real estate stock markets based on cointegration and correlation analyses. 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 North America. Furthermore, it is shown that within each region, there are one or two key markets that influence neighboring markets, such as Australia in the Asia-Pacific region, the US in the Anglo-Saxon countries, and France and the Netherlands in the European Monetary Union (EMU). Therefore, from an investor!|s point of view, it is implied that it should be sufficient to only focus on these central markets. With respect to the efficient market hypothesis, the findings by the cointegration analysis further question its validity for securitized real estate markets.
Volume (Year): 14 (2011)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: http://www.asres.org/
|Order Information:|| Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA|
Web: http://www.asres.org/ Email:
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.:
- Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-80, July.
When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:14:n:01:2011:p:27-60. 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: (IRER Secretary Office/Webmaster)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.