Extreme Dependence between Public Real Estate and Stock Markets: Some Asia-Pacific Evidence

Kim Liow and Zhuo Lee ()
Additional contact information
Zhuo Lee: Department of Real Estate, National University of Singapore, 4 Architecture Drive, Singapore 117566

International Real Estate Review, 2013, vol. 16, issue 2, 147-165

Abstract: The main contribution of this study is to examine the extreme dependence between the real estate securities and stock markets in Australia, China, Hong Kong, Japan, Malaysia, the Philippines, Singapore and Taiwan between January 1995 and March 2011. For each market, we derive time series tail dependence coefficients (TDC) which measure how likely financial returns move in extreme market conditions by using the dynamic conditional correlation (DCC) methodology provided by Engle (2002). Overall, our results indicate that Singapore, the Philippines and Hong Kong have the highest extreme real estate¡Vstock market co- movement of at least 50%. In addition, during the global financial crisis (GFC) period, the securitized real estate and common stock markets in China, Hong Kong, Japan, the Philippines and Singapore displayed the highest extreme dependence to react together to financial turmoil. The results in this paper also show that the extreme dependence patterns of real estate-stock markets are similar for many of the Asia-Pacific economies. Finally, correlation coefficients are not adequate for explaining extreme co-movements between the securitized real estate and common stock markets in the longer period, as well as in the two- year GFC periods. Our TDC modeling with Asia-Pacific securitized real estate and stock markets provide useful information and advice to international investors and risk management personnel in tactical asset allocation so as to manage the extreme dependence between securitized real estate and common stock markets.

Keywords: Extreme dependence; Tail dependence coefficient; Dynamic conditional correlation; Correlation coefficient; Securitized real estate markets; Stock markets (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.gssinst.org/irer/wp-content/uploads/20 ... nd-stock-markets.pdf Full text (application/pdf)

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:ire:issued:v:16:n:02:2013:p:147-165

Ordering information: This journal article can be ordered from
Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850
https://www.gssinst.org/gssinst/index.html

Access Statistics for this article

International Real Estate Review is currently edited by Professor Sing Tien Foo and Professor Ko Wang

More articles in International Real Estate Review from Global Social Science Institute Global Social Science Institute, 9200 Corporate Blvd., Suite 420 Rockville, MD 20850.
Bibliographic data for series maintained by IRER Graduate Assistant/Webmaster ().