Arbeitspapier

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

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.

Sprache
Englisch

Erschienen in
Series: ZEW Discussion Papers ; No. 10-051

Klassifikation
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
Thema
international securitized real estate markets
diversification
time-varying cointegration
stochastic cointegration
Immobilienfonds
Immobilienmarkt
Securitization
Internationaler Finanzmarkt
Internationaler Preiszusammenhang
Kointegration
Schätzung
Welt

Ereignis
Geistige Schöpfung
(wer)
Schindler, Felix
Voronkova, Svitlana
Ereignis
Veröffentlichung
(wer)
Zentrum für Europäische Wirtschaftsforschung (ZEW)
(wo)
Mannheim
(wann)
2010

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Schindler, Felix
  • Voronkova, Svitlana
  • Zentrum für Europäische Wirtschaftsforschung (ZEW)

Entstanden

  • 2010

Ähnliche Objekte (12)