 Real estate global beta and spillovers: An international studyKim Liow and Graeme Newell Economic Modelling, 2016, vol. 59, issue C, 297-313 Abstract: This study investigates the dynamics of real estate global beta and international spillovers among 16 public real estate markets for the period of 1995–2015. We find that international public real estate markets are characterized by a varying degree of increasing global stock market linkages during the financial crises. Although increases in real estate global betas are linked to conditional correlation increases and market integration over time, the relative conditional standard deviation (real estate/global stock) is more important in driving the changes in real estate global betas over time. In an international environment, the real estate global beta spillovers are substantial and time-varying across the countries examined. There are institutional and economic implication associated with real asset securitization that can influence the changes in real estate global betas and their spillovers in international financial markets. Keywords: Real estate global beta; Financial crises; Beta spillovers; Dynamic conditional correlations; Public real estate markets; Global stock market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:59:y:2016:i:c:p:297-313 DOI: 10.1016/j.econmod.2016.08.001 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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