Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration

Arbeitspapier

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this paper is of significant contribution to existing studies since we compare results from different cointegration methodologies and explicitly control for instability in cointegration relationships and deviations from normality. Furthermore, the analyzed time period is longer than in previous studies and ranges from 1990 to 2009 covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between national real estate stock markets. However, it is also shown that most cointegration relationships are unstable and that the results from cointegration methodologies suggested by Engle and Granger (1987) and Johansen (1988) might be misleading in that common long-run comovements appear to be stronger when structural breaks are considered. Thus, the results indicate that investors would benefit from broadening their investment horizon from their domestic continent to international markets. This particularly applies for the European securitized real estate markets.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ZEW Discussion Papers ; No. 10-051

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Bayesian Analysis: General ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: international securitized real estate markets ; diversification ; time-varying cointegration ; stochastic cointegration ; Immobilienfonds ; Immobilienmarkt ; Securitization ; Internationaler Finanzmarkt ; Internationaler Preiszusammenhang ; Kointegration ; Schätzung ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schindler, Felix ; Voronkova, Svitlana
• Event: Veröffentlichung
• (who): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (where): Mannheim
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/40160
• Last update: 10.03.2025, 11:42 AM CET