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The Linkages Between Real Estate Securities in the Asia-Pacific

Author/s: Ryan Garvey, Gary Santry, Simon Stevenson

Date Published: 1/01/2001

Published in: Volume 7 - 2001 Issue 4 (pages 240 - 258)

Abstract

This paper investigates the inter-relationships between real estate securities markets in Australia, Hong Kong, Japan, and Singapore. Two key issues are addressed, namely whether the markets are related in the short-term and secondly, whether short-run co-movement occurs b?tw??? the markets on a weekly basis. The long-term analysis finds minimal evidence of cointegration between the markets, indicating that they do not share long-term trends. This implies long-term diversification opportunities. The short-term analysis of causal relationships and volatility spillovers also provides evidence of minimal co-movement. The primary piece of dissenting evidence is that consistent evidence of Granger Causality is found when contemporaneous observations are included.

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Keywords

Asia Pacific - Diversification - Market Integration - Real Estate Securities

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