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Are Real Estate Markets Integrated with the World Market?

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  • Abdulnasser Hatemi-J
  • Eduardo Roca

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  • Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201111
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390424/2011-11-are-real-estate-markets-integrated-with-world-market.pdf
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    References listed on IDEAS

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    1. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    2. Scott Hacker & Abdulnasser Hatemi-J, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components G00007, Boston College Department of Economics.
    3. Giovanni Dell’ariccia & Deniz Igan & Luc Laeven, 2012. "Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 367-384, March.
    4. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
    5. Goetzmann, William Nelson, 1993. "The Single Family Home in the Investment Portfolio," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 201-222, May.
    6. 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.
    7. Liow, Kim Hiang & Webb, James R., 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, Elsevier, vol. 18(2), pages 80-89, April.
    8. Patrick Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets: Is It Worth It? Evidence from the Literature," Journal of Real Estate Literature, Taylor & Francis Journals, vol. 11(3), pages 257-278, January.
    9. Felix Schindler, 2010. "Market Efficiency In The Emerging Securitized Real Estate Markets," ERES eres2010_138, European Real Estate Society (ERES).
    10. repec:bla:jfinan:v:53:y:1998:i:6:p:1975-1999 is not listed on IDEAS
    11. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    12. Bond, Shaun A & Patel, Kanak, 2003. "The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 319-339, March-May.
    13. Ling, David C & Naranjo, Andy, 2002. "Commercial Real Estate Return Performance: A Cross-Country Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 119-142, Jan.-Marc.
    14. Soosung Hwang, 2004. "Liquidity Risk and Real Estate: A Quantitative Approach to Assessing Risk," ERES eres2004_540, European Real Estate Society (ERES).
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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