Volatility Decomposition and Correlation in International Securitized Real Estate Markets |
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Authors: | Kim Hiang Liow Muhammad Faishal Ibrahim |
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Institution: | 1.Department of Real Estate,National University of Singapore,Singapore,Singapore |
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Abstract: | This study contributes to the literature in international securitized real estate market volatility in three ways. Each market’s
conditional volatility is decomposed into a “permanent” or long-run component and a “transitory” or short-run component via
a component-GARCH model. Even though with the same number of common factors derived from the “permanent” and “transitory”
volatility series, their loadings are not similar and consequently the long-run and short-run volatility linkages for some
markets are different. Finally there are significant volatility co-movements between real estate and stock markets’ “permanent”
and “transitory” components suggesting that real estate markets are at least not segmented from stock markets in international
investing. |
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Keywords: | |
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