Macro-economic and financial determinants of comovement across global real estate security markets

Stevenson, S., (2013) Macro-economic and financial determinants of comovement across global real estate security markets. Working Papers in Real Estate & Planning. 07/13. Working Paper. University of Reading, Reading. pp34.

Abstract/Summary

This paper models the determinants of integration in the context of global real estate security markets. Using both local and U.S. Dollar denominated returns, we model conditional correlations across listed real estate sectors and also with the global stock market. The empirical results find that financial factors, such as the relationship with the respective equity market, volatility, the relative size of the real estate sector and trading turnover all play an important role in the degree of integration present. Furthermore, the results highlight the importance of macro-economic variables in the degree of integration present. All four of the macro-economic variables modeled provide at least one significant result across the specifications estimated. Factors such as financial and trade openness, monetary independence and the stability of a country’s currency all contribute to the degree of integration reported.

Item Type	Report (Working Paper)
URI	https://reading-clone.eprints-hosting.org/id/eprint/32472
Item Type	Report
Divisions	Henley Business School > Real Estate and Planning
Publisher	University of Reading
Publisher Statement	The copyright of each working paper remains with the author. If you wish to quote from or cite any paper please contact the appropriate author; in some cases a more recent version of the paper may have been published elsewhere.
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