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Investment Dynamics of the Greater China Securitized Real Estate Markets

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  • Kim Hiang Liow
  • Graeme Newell

Abstract

This paper focuses on securitized real estate markets. It investigates simultaneously the effects of volatility spillover and conditional correlation on the cross-market relationships among three real estate securities markets, Mainland China, Hong Kong, and Taiwan in Greater China (GC), as well as their international links with the securitized real estate markets in the United States over 1995–2009. Overall, the results indicate that the three GC markets are integrated among themselves, as well as with the U.S. markets. The conditional correlations between the GC markets have outweighed their conditional correlations with the U.S. market, indicating closer integration between the GC markets due to geographical proximity and closer economic links. Moreover, higher levels of volatility spillovers and correlations are detected across all markets during the 2007 global financial crisis period. Finally, the orthogonalized real estate results indicate that unsecuritized real estate could behave differently from real estate securities in volatility interdependence and correlation relationship across the four economies.

Suggested Citation

  • Kim Hiang Liow & Graeme Newell, 2012. "Investment Dynamics of the Greater China Securitized Real Estate Markets," Journal of Real Estate Research, Taylor & Francis Journals, vol. 34(3), pages 399-428, January.
    • Handle: RePEc:taf:rjerxx:v:34:y:2012:i:3:p:399-428
    DOI: 10.1080/10835547.2012.12091338
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    1. repec:uts:finphd:35 is not listed on IDEAS
    2. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016, January-A.
    3. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Comovement of Greater China Real Estate Markets: Some Time Scale Evidence," Journal of Real Estate Research, Taylor & Francis Journals, vol. 41(3), pages 473-512, July.
    4. 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.
    5. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
    6. 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).
    7. Tung-Yueh Pai & Yen-Hsien Lee, 2018. "Industry Herding, Spillover Index and Investment Strategy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-6.
    8. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
    9. Kim Hiang Liow, 2014. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(6), pages 610-641, August.
    10. 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.
    11. 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.
    12. Liow, Kim Hiang & Liao, Wen-Chi & Huang, Yuting, 2018. "Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty," Economic Modelling, Elsevier, vol. 68(C), pages 96-116.

    More about this item

    JEL classification:

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

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