EconPapers    
Economics at your fingertips  
 

Correlation structure and dynamics of international real estate securities markets: A network perspective

Gang-Jin Wang and Chi Xie

Physica A: Statistical Mechanics and its Applications, 2015, vol. 424, issue C, 176-193

Abstract: In this paper, we investigate the correlation structure and dynamics of international real estate securities markets by using daily returns of 20 national markets during the period 2006–2012 from a network perspective. We construct the minimum spanning tree (MST), the hierarchical tree (HT), and the planar maximally filtered graph (PMFG) obtained from the correlation matrix computed by the daily returns during the investigated period, and analyze the corresponding clustering structure, hierarchical structure, and community structure. We also build the time-varying MST and PMFG networks by a rolling window to examine the dynamics of correlation structure. The empirical results show that (1) the distribution of correlation coefficients is asymmetric, fat-tailed, and non-Gaussian. (2) The distributions of the influence-strength of the MST and PMFG networks obey a power-law. (3) Two clusters (i.e., the European and Asia-Pacific clusters) are found in the MST network, three hierarchical clusters (i.e., two like in the MST and the North American cluster) in the HT, and three communities in the PMFG network, which shows that national markets are linked together according to their geographical distributions. (4) The descriptive statistics of correlation coefficients and distances of the MSTs and PMFGs are time-varying; especially during periods of crisis they have a large fluctuation. (5) A huge number of linkages between national markets survive from one time to the next, and the long-term stability of the correlation structure in international real estate securities markets descends as time goes on. Our obtained results are new insights in international real estate securities markets and have wide applications for investment portfolio and risk management.

Keywords: Real estate securities markets; Correlation structure; Network; Cluster analysis; Dynamics; Community structure (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437115000278
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:eee:phsmap:v:424:y:2015:i:c:p:176-193

DOI: 10.1016/j.physa.2015.01.025

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-12-18
Handle: RePEc:eee:phsmap:v:424:y:2015:i:c:p:176-193