An Assessment of the Relationship between Public Real Estate Markets and Stock Markets at the Local, Regional, and Global Levels

Liow, Kim Hiang; Schindler, Felix

doi:10.2139/ssrn.1949640

Cited by 16 publications

(23 citation statements)

References 25 publications

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“…Our empirical results are mostly in line with some of the recent literature including Luctenberg and Seiler (2014) which presents evidence of no-cointegration prior to the crisis (for the U.S. indices) but a strong correlation after the crisis and Liow and Schindler (2014) presenting evidence for the time-varying nature of the co-integration relationships and the structural change after the crisis using a sample of countries similar to the one used in this study.…”

Section: Resultssupporting

confidence: 90%

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The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

Yuksel

Yuksel²,

Erol³

et al. 2017

IJEF

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The aim of this paper is to analyze the impact of the Global Financial Crisis (GFC) on the co-integration relationship between the REIT and stock market indices using a sample of 10 developed countries. The main tool employed for this purpose is the dynamic co-integration approach. The empirical results strongly suggest that the stock and REIT markets were deeply affected by two successive crises. The first crisis was related to the U.S. subprime problems while the second shock emanated from the European insolvency problems. The shocks led to serious structural breaks in the financial data during the 2007-2012 period. As a result of this and the highly variable nature of the co-integration structure during this period, the conventional and static Johansen tests cannot detect the strong co-integration between the REIT and stock markets which were the result of common negative response of both markets to the successive shocks. Dynamic co-integration approach seems to be a more valid tool to capture the dynamics of the co-integration structure after the GFC. The dynamic approach implies that the destruction of diversification benefits between the REIT and stock markets was essentially a shock related outcome which also implies that the diversification potential between these two markets may still be valid in the absence of shocks.

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Section: Resultssupporting

confidence: 90%

“…Liow and Schindler (2014) reports that the European and U.S. REIT markets are becoming more integrated with the global and regional stock markets but they are less integrated with their local stock markets. This implies the possibility of diversification at a local (country-specific) level.…”

Section: Introductionmentioning

confidence: 99%

The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

Yuksel

Yuksel²,

Erol³

et al. 2017

IJEF

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“…As indicated by [44], the relationships between real estate stocks and other financial assets may be time varying. For that reason, the evolution of information-based trade for each measure is tracked and compared between real estate and other financial assets.…”

Section: Discussionmentioning

confidence: 99%

“…Analyzing the temporal evolution of the measures, Figure 2 reveals an effect that replicates to some extent over the other figures, as well. As [44] assume, the information content for every asset class is time varying.…”

Section: Descriptive Analysis and Intertemporal Evolutionmentioning

confidence: 99%

Information-Based Trade in German Real Estate and Equity Markets

Wölfle¹

2015

Risks

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This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential information content in real estate stocks compared to other asset classes. After linking substantially lower amounts of information-based trade in real estate stocks to higher liquidity premia, it is found that the evolution of the information content in real estate and other assets follows similar trends. Consequently, interdependence is tested for rolling time windows, revealing strong informational links between real estate and other assets. Particularly, small caps, financials, as well as companies offering consumer goods and services show a close relationship to real estate. Depending on the choice of the measure of information-based trade, up to 75% of the variation in the information content in real estate shares is related to other asset classes, pointing to the notion of high dependence.

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“…Previous literature has documented the theory that low correlation of an asset with other capital markets, international and domestic portfolios provides the opportunity for risk reduction and diversification in an investment [21]. In [22], the local, regional and global linkage of securitized real estate and stock markets and possible integration in nine developed markets from the three regions of North America (the U.S.), Europe (Germany, France, Netherlands and the U.K.) and Asia-Pacific (Japan, Hong Kong, Singapore and Australia) in the period 1990-2011 were investigated.…”

Section: Listed Real Estatementioning

confidence: 99%

The Independence of Indexed Volatilities

Kola¹,

Sebehela²

2021

Linear and Non-Linear Financial Econometrics -Theory and Practice

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Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges around the globe. This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real estate indices of emerging markets. The results illustrate that volatility spillovers occur within (same) indices and across different indices. Moreover, those spillovers are within and across emerging countries. Interestingly, illiquid indices in certain situations move in between different volatility regimes more than liquid indices. Volatility strategies emanating from this study are equally applicable to both sell and buy sides in securities markets.

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An Assessment of the Relationship between Public Real Estate Markets and Stock Markets at the Local, Regional, and Global Levels

Cited by 16 publications

References 25 publications

The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

Information-Based Trade in German Real Estate and Equity Markets

The Independence of Indexed Volatilities

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