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


Schindler, Felix ; Voronkova, Svitlana


[img]
Vorschau
PDF
dp10051.pdf - Veröffentlichte Version

Download (482kB)

URL: http://ub-madoc.bib.uni-mannheim.de/2990
URN: urn:nbn:de:bsz:180-madoc-29904
Dokumenttyp: Arbeitspapier
Erscheinungsjahr: 2010
Sprache der Veröffentlichung: Englisch
Einrichtung: Sonstige Einrichtungen > Zentrum für Europ. Wirtschaftsforschung (ZEW)
MADOC-Schriftenreihe: Veröffentlichungen des ZEW (Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Fachgebiet: 330 Wirtschaft
Fachklassifikation: JEL: G14 C11 C22 ,
Normierte Schlagwörter (SWD): Immobilienweltmarkt , Internationaler Aktienmarkt , Kointegration , Diversifikation
Freie Schlagwörter (Englisch): 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.
Zusätzliche Informationen:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Zitationsbeispiel und Export

Schindler, Felix ; Voronkova, Svitlana (2010) Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration. Open Access [Arbeitspapier]
[img]
Vorschau



+ Suche Autoren in

+ Download-Statistik

Downloads im letzten Jahr

Detailierte Angaben



Sie haben einen Fehler gefunden? Teilen Sie uns Ihren Korrekturwunsch bitte hier mit: E-Mail


Actions (login required)

Eintrag anzeigen Eintrag anzeigen