Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum

Steven Devaney and Qin Xiao

Journal of Multinational Financial Management, 2017, vol. 42-43, 132-151

Abstract: Whether returns from investing in real estate shares reflect equity market or real estate market trends is an important question for investors seeking liquid, low cost exposure to real estate. We consider the relationship between real estate shares, private real estate investments and equity markets for five real estate investment locations: Australia, Hong Kong, Singapore, UK and US. We utilise spectral and cross-spectral techniques to decompose each time series into cyclical components of differing frequencies. This allows correlations for a range of cyclical components to be analysed. Our results suggest that returns from real estate shares share a number of short frequency cycles with the equity market. Longer cycles are evident in both real estate shares and private real estate returns, but these cycles are not always shared. Hence, real estate shares and private real estate may not always be close substitutes, even over longer horizons, but the relationship varies across our locations.

Keywords: Real estate; Spectral analysis; Transaction indices; Disaggregated data (search for similar items in EconPapers)
JEL-codes: C32 C58 G12 G15 R30 R39 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:42-43:y:2017:i::p:132-151

DOI: 10.1016/j.mulfin.2017.10.002

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