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


Schindler, Felix ; Voronkova, Svitlana


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URL: http://ub-madoc.bib.uni-mannheim.de/2990
URN: urn:nbn:de:bsz:180-madoc-29904
Document Type: Working paper
Year of publication: 2010
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G14 C11 C22 ,
Subject headings (SWD): Immobilienweltmarkt , Internationaler Aktienmarkt , Kointegration , Diversifikation
Keywords (English): International securitized real estate markets , diversification , time-varying cointegration , stochastic cointegration
Abstract: 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.
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Schindler, Felix ; Voronkova, Svitlana (2010) Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration. Open Access [Working paper]
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