Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets
Kim Liow and
Qing Ye ()
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Qing Ye: National University of Singapore
Journal of Real Estate Research, 2017, vol. 39, issue 1, 127_164
Employing Markov-switching regime beta models on eight developed public real estate markets, we examine whether the recent global financial crisis has caused significant changes in the excess return distribution, volatility spillover and the link between them and the world market from January 2000 to June 2015. There is a significant increase in the average return, variance and world market linkage parameters for the three selected European markets in recent years. However, the null hypothesis of stable/decreased linkages with the world market indices in both volatility regimes during the post-crisis period cannot be rejected for the three Asian markets examined.
JEL-codes: L85 (search for similar items in EconPapers)
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