Global Financial Integration, Real Estate Security Returns and Financial Crisis

Yiyi Dong and Charles Leung

No GRU_2017_015, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

Abstract: This paper re-examines whether the global economic and financial integration affects the excess return of a sample with more than 1300 real estate companies from 16 major economies in the world, covering the pre-crisis period (1995-2006), the in-crisis period (2007-2009) and the post- crisis period (2010-2014). The results of the whole sample are compared with those of each geographically-divided sub-group, as well as those obtained in different sub-samples. We confirm that the global financial integration has significant influences on the excess returns of real estate firms. The Global Financial Crisis (GFC) may have significantly changed the relationship between the excess return of a real estate firm and many macroeconomic and firm-level variables, including the economic openness of a country. Such change may also be continent-dependent. Explanations and directions for future research are also discussed.

Keywords: globalization; economic openness; real estate returns; financial crisis; economic recovery (search for similar items in EconPapers)
JEL-codes: F21 F36 G15 H12 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2017-09-09
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Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2017_015

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