Is there Convergence between the Brics and International Securitized Property Markets?

O. Akinsomi, Yener Coskun (), Luis Gil-Alana and Olaoluwa Yaya

AfRES from African Real Estate Society (AfRES)

Abstract: The BRICS market represents high growth economies. This paper empirically examines the long-run equilibrium as well as the short-run linkages between the BRICS securitized property markets and the securitized property markets in developed countries (United States, Australia and the United Kingdom). We employ fractional co-integration techniques between the BRICS property markets and the 3 developed property markets. This paper tests the hypothesis of fractional integration, our results showed no evidence of co-integration between BRICS securitized property markets and the securitized property markets of any of the developed economies in the long run, while the result only indicated that the BRICS securitized property markets is influenced by the developed economies in the short run. The implications of this study show that a portfolio of developed securitized property markets is diversifiable when added into a portfolio of BRICS securitized property markets. This is particularly significant for investors and fund analysts in other to reduce portfolio risks.

Keywords: BRICS; Fractional Cointegration; fractional integration; Property Management; Real Estate Investment Trust (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2018-09-01
New Economics Papers: this item is included in nep-cis
References: Add references at CitEc
Citations:

Downloads: (external link)
https://afres.architexturez.net/doc/oai-afres-id-afres2018-113 (text/html)

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:afr:wpaper:afres2018_113

Access Statistics for this paper

More papers in AfRES from African Real Estate Society (AfRES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().