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Global and Regional Integration in European Real Estate Markets

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  • Stephen Lee

Abstract

This paper examines the integration between nine real estate markets namely, Belgium, France, Germany, Italy, the Netherlands, Spain, Sweden, and Switzerland and the UK since 1990 using a number of innovations over previous studies. First, unlike previous studies we uses observed global and regional indices to address the difficulties of interpretation of the results of orthogonalized indexes. Second, we use weekly data in our estimation to increase the precision of the results while avoiding the bias induced by non-synchronous trading hours from the use of daily data. Finally, to reduce the impact large country returns have on market capitalised indices we use un-weighted global and regional indices. This approach should therefore provide a more accurate assessment global/regional integration of European securitised real estate market returns and reduce the possibility of spurious correlation.

Suggested Citation

  • Stephen Lee, 2009. "Global and Regional Integration in European Real Estate Markets," ERES eres2009_368, European Real Estate Society (ERES).
  • Handle: RePEc:arz:wpaper:eres2009_368
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2009-368
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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