Volatility, Correlation and Returns Dynamics between the US and UK Securitised Real Estate Markets

Patrick Wilson () and Ralf Zurbruegg

ERES from European Real Estate Society (ERES)

Abstract: This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis similar to other equity listed stocks, and as such caution should be placed on believing that the pricing dynamics of international securitised real estate markets are distinguishable from standard stocks. The synchronous results are also noticeably different to when only using close-to-close returns, which can misconstrue the true dynamics that exist between these markets. This has important implications for how property portfolio managers manage their portfolios.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2004-06-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2004_233

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