IDEAS home Printed from https://ideas.repec.org/a/kap/jrefec/v47y2013i2p370-390.html
   My bibliography  Save this article

Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?

Author

Listed:
  • Kim Liow

    ()

  • Wei Chen

Abstract

We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over the past 15 years, 1995–2009, using an econometric model that incorporates common volatility effects across the sample markets. The empirical results indicate the presence of at least one common variance component, and thus partial volatility convergence, among the sample Asia real estate securities markets. During the global financial crisis period, some real estate securities markets are co-integrated in both their first and second moments and demonstrate partial price and volatility convergence. Our analysis that focuses in capturing the common roots in the second moment whilst accounting for time-varying variance has important implications for international real estate portfolio investment. Copyright Springer Science+Business Media, LLC 2013

Suggested Citation

  • Kim Liow & Wei Chen, 2013. "Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 370-390, August.
  • Handle: RePEc:kap:jrefec:v:47:y:2013:i:2:p:370-390
    DOI: 10.1007/s11146-011-9356-6
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11146-011-9356-6
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kim Liow & Kim Ho & Muhammad Ibrahim & Ziwei Chen, 2009. "Correlation and Volatility Dynamics in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 202-223, August.
    2. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
    3. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    4. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
    5. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-176, April.
    6. Patrick Wilson & Ralf Zurbruegg & David Michayluk, 2004. "Real Estate Markets," ERES eres2004_560, European Real Estate Society (ERES).
    7. Gannon, Gerard L., 1996. "First and second order inefficiency in Australasian currency markets," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 315-327, July.
    8. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
    9. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    10. Kim Hiang Liow & James R. Webb, 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 80-89, April.
    11. Kim Liow & Muhammad Ibrahim, 2010. "Volatility Decomposition and Correlation in International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 40(2), pages 221-243, February.
    12. Jian Yang & James Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor & Francis Journals, vol. 15(13), pages 895-905.
    13. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298.
    14. 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, September.
    15. Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509, September.
    16. Alexakis, Panayotis & Apergis, Nicholas, 1996. "ARCH effects and cointegration: Is the foreign exchange market efficient?," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 687-697, May.
    17. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, March.
    20. Manning, Neil, 2002. "Common trends and convergence? South East Asian equity markets, 1988-1999," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 183-202, April.
    21. Sheng-Yung Yang, 2005. "A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 89-93, March.
    22. Shaun A. Bond & Soosung Hwang, 2003. "A Measure of Fundamental Volatility in the Commercial Property Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(4), pages 577-600, December.
    23. Kim Hiang Liow, 2008. "Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence," Journal of Property Research, Taylor & Francis Journals, vol. 25(2), pages 127-155, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kim Hiang Liow, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
    2. 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.
    3. He, Chi-Wei & Chang, Kuang-Liang & Wang, Yung-Jang, 2020. "Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market," Finance Research Letters, Elsevier, vol. 34(C).
    4. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.
    5. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
    6. Kim Hiang Liow & Xiaoxia Zhou & Qing Ye, 2015. "Correlation Dynamics and Determinants in International Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 537-585, September.
    7. Sharma, Subhash C. & Wongbangpo, Praphan, 2002. "Long-term trends and cycles in ASEAN stock markets," Review of Financial Economics, Elsevier, vol. 11(4), pages 299-315.
    8. Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 293-318, February.
    9. Yang Deng & Helen X. H. Bao & Pu Gong, 2018. "Increased Tail Dependence in Global Public Real Estate Markets," International Real Estate Review, Asian Real Estate Society, vol. 21(2), pages 145-168.
    10. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    11. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    12. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
    13. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 30(5), pages 473-492, August.
    14. Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 295-328, April.
    15. Kim Hiang Liow, 2012. "Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 97-129, March.
    16. 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 - Leibniz Centre for European Economic Research.
    17. Jian Zhou, 2010. "Comovement of international real estate securities returns: a wavelet analysis," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 357-373, August.
    18. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
    19. 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, September.
    20. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:47:y:2013:i:2:p:370-390. 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: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: http://www.springer.com .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.