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Comovement of international real estate securities returns: a wavelet analysis

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  • Jian Zhou

Abstract

The comovement of equity markets is of crucial importance for portfolio diversification and risk management. In this study, we utilise the wavelet analysis to examine the comovement among international securitised real estate markets as well as the cross‐market comovement between the stock and securitised real estate markets. As a novel approach, wavelet analysis has not yet been applied to the real estate field. Its advantage lies in that it allows us to assess the comovement in the time and frequency domains simultaneously. Using it, we carry out the study for six countries, namely US, UK, Japan, Australia, Hong Kong and Singapore. Our findings highlight the importance of considering both the time‐ and frequency‐varying features of the comovement in designing international portfolios.

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  • 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.
    • Handle: RePEc:taf:jpropr:v:27:y:2010:i:4:p:357-373
    DOI: 10.1080/09599916.2010.517853
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    1. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
    2. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
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    4. Deng-Kui SI & Xiao-Lin LI & Tsangyao CHANG & Lu BAI, 2018. "Co-movement and Causality between Nominal Exchange Rates and Interest Rate Differentials in BRICS Countries: A Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-19, December.
    5. KimHiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 37(1), pages 92-117, January.
    6. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2024. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 253-276, August.
    7. Li, Xin & Su, Chi-Wei & Chang, Hsu-Ling & Ma, Ji, 2018. "Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 15-25.
    8. 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.
    9. Stelios Bekiros & Amanda Dahlström & Gazi Salah Uddin & Oskar Ege & Ranadeva Jayasekera, 2020. "A tale of two shocks: The dynamics of international real estate markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 3-27, January.
    10. Wen-Yi CHEN & Yu-Hui LIN, 2016. "Co-Movement of Healthcare Financing in OECD Countries: Evidence from Discrete Wavelet Analyses," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 40-56, September.
    11. Maria I. Kyriakou & Athanasios Koulakiotis & Apostolos Kiohos & Vassilios Babalos, 2023. "Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 66(4), pages 939-962, May.
    12. Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
    13. Liow, Kim Hiang & Huang, Yuting & Song, Jeonseop, 2019. "Relationship between the United States housing and stock markets: Some evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    14. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Nicoleta-Claudia, Moldovan, 2019. "Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia," Energy, Elsevier, vol. 187(C).
    15. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(606), S), pages 57-76, Spring.
    16. Su, Chi-Wei & Khan, Khalid & Tao, Ran & Umar, Muhammad, 2020. "A review of resource curse burden on inflation in Venezuela," Energy, Elsevier, vol. 204(C).
    17. Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019. "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, vol. 43(C), pages 37-55.
    18. Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.
    19. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
    20. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies," Journal of Property Research, Taylor & Francis Journals, vol. 36(1), pages 27-58, January.

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