Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests

Nafeesa Yunus

Real Estate Economics, 2009, vol. 37, issue 3, 383-411

Abstract: This article examines the degree of interdependence among the securitized property markets of six major countries and the United States. Long‐run results indicate that, over a period beginning January 1990 and ending August 2007, the property markets of Australia, Hong Kong, Japan, the United Kingdom and the United States are tied together, implying that from the perspective of the U.S. investor the markets of the Netherlands and France provide the greater diversification benefits. Further, the United States and Japan are found to be the sources of the common trends, suggesting that the two larger property markets lead the five (cointegrated) markets toward the long‐run equilibrium relationships.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
https://doi.org/10.1111/j.1540-6229.2009.00246.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:37:y:2009:i:3:p:383-411

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().