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Long-Term Benegits from Investing in International Securitized Real Estate

Author

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  • Felix Schindler

    () (Steinbeis University Berlin)

Abstract

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.

Suggested Citation

  • Felix Schindler, 2011. "Long-Term Benegits from Investing in International Securitized Real Estate," International Real Estate Review, Asian Real Estate Society, vol. 14(1), pages 27-60.
  • Handle: RePEc:ire:issued:v:14:n:01:2011:p:27-60
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    References listed on IDEAS

    as
    1. 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 277-280, July.
    2. Urzua, Carlos M., 1996. "On the correct use of omnibus tests for normality," Economics Letters, Elsevier, vol. 53(3), pages 247-251, December.
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    Cited by:

    1. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

    More about this item

    Keywords

    Cointegration; Correlation Analysis; Diversification; Securitized Real Estate Markets;

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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