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Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence

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  • Nafeesa Yunus

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  • J. Hansz

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  • Paul Kennedy

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Abstract

This study evaluates long-run relationships and short-run linkages between the private (unsecuritized) and the public (securitized) real estate markets of Australia, Netherlands, United Kingdom and the United States. Results indicate the existence of long-run relationships between the public and private real estate markets of each of the countries under consideration. This implies that for all countries, investors would not have realized long-term portfolio diversification benefits from allocating funds in both the private and public real estate markets since these assets are substitutable over the long run. Short-run analyses also reveal significant causal relationships between private and public markets of all countries under consideration. As expected, it was found that price discovery occurred in the public real estate market in that it leads but is not led by its private real estate market counterpart. Copyright Springer Science+Business Media, LLC 2012

Suggested Citation

  • Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
  • Handle: RePEc:kap:jrefec:v:45:y:2012:i:4:p:1021-1040
    DOI: 10.1007/s11146-010-9297-5
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    References listed on IDEAS

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    Cited by:

    1. repec:kap:jrefec:v:56:y:2018:i:3:d:10.1007_s11146-017-9646-8 is not listed on IDEAS
    2. Kishor, N. Kundan, 2017. "Understanding the Relationship between Public and Private Commercial Real Estate Markets," MPRA Paper 83475, University Library of Munich, Germany.
    3. William Mingyan Cheung & James Chicheong Lei & Desmond Tsang, 2016. "Does Property Transaction Matter in the Price Discovery of Real Estate Markets?," International Real Estate Review, Asian Real Estate Society, vol. 19(1), pages 27-49.
    4. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
    5. repec:spr:anresc:v:60:y:2018:i:1:d:10.1007_s00168-016-0789-y is not listed on IDEAS
    6. repec:eee:mulfin:v:42-43:y:2017:i::p:132-151 is not listed on IDEAS
    7. Viktoriya Lantushenko & Edward Nelling, 2017. "Institutional Property-Type Herding in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 459-481, May.
    8. repec:bla:abacus:v:53:y:2017:i:3:p:395-430 is not listed on IDEAS
    9. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
    10. Jing Wu & Yongheng Deng, 2015. "Intercity Information Diffusion and Price Discovery in Housing Markets: Evidence from Google Searches," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 289-306, April.
    11. David C. Ling & Andy Naranjo, 2015. "Returns and Information Transmission Dynamics in Public and Private Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 163-208, March.
    12. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.

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