Time-varying correlation between stock market returns and real estate returns

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

“…Table 1, we note that the return series exhibit a considerable correlation of 0.795, which reflects the common finding that real estate equities display much more similarity to the general stock market than direct real estate investments (e.g. Morawski, Rehkugler & Füss, 2008;Heaney & Sriananthakumar, 2012). Moreover, the bottom panel of Figure 1 shows conditional correlations implied by an exponentially weighted moving average (EWMA) estimator (cf.…”

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

“…According to Tse et al (2014), the recent financial crisis produced major shocks in the UK housing market. Higgins (2007) argues that real estate forms an important asset class for mutual funds both locally and globally accounting for around 10% of UK portfolio investment (see also Heaney and Sriananthakumar, 2012). Further, the UK housing market plays an important role in UK economic activity due to a high owner-occupation rate.…”

Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka

“…While it is often assumed that correlations are constant, a number of researchers, including Heaney and Sriananthakumar (2012) and Narayan et al (2014), provide evidence that equity market correlations tend to change through time. This is essential to take into account because a key piece of information required in successful portfolio construction is the asset return correlation 10 .…”

“…For computational simplicity early MGARCH-based studies also rely on constant correlation. Engle and Kroner (1995) propose an alternative class of MGARCH model; the BEKK model (named after Baba, Engle,Kraft 10 The method used in this study reproduces Heaney and Sriananthakumar (2012).…”