Comovement of international real estate securities returns: a wavelet analysis

Jian Zhou ()

Journal of Property Research, 2010, vol. 27, issue 4, 357-373

Abstract: The comovement of equity markets is of crucial importance for portfolio diversification and risk management. In this study, we utilise the wavelet analysis to examine the comovement among international securitised real estate markets as well as the cross‐market comovement between the stock and securitised real estate markets. As a novel approach, wavelet analysis has not yet been applied to the real estate field. Its advantage lies in that it allows us to assess the comovement in the time and frequency domains simultaneously. Using it, we carry out the study for six countries, namely US, UK, Japan, Australia, Hong Kong and Singapore. Our findings highlight the importance of considering both the time‐ and frequency‐varying features of the comovement in designing international portfolios.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2010.517853 (text/html)
Access to full text is restricted to subscribers.

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:taf:jpropr:v:27:y:2010:i:4:p:357-373

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599916.2010.517853

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().