Structural breaks, diversification and international real estate markets — some new evidence

2002 ◽  
Vol 1 (4) ◽  
pp. 348-366 ◽  
Author(s):  
Patrick J. Wilson ◽  
Ralf Zurbruegg
Keyword(s):  
Real Estate ◽  
Structural Breaks ◽  
Real Estate Markets ◽  
New Evidence

scholarly journals International Real Estate Review

2018 ◽  
Vol 21 (2) ◽  
pp. 145-168
Author(s):  
Yang Deng ◽  
◽  
Helen X. H. Bao ◽  
Pu Gong ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Tail Dependence ◽  
Sampling Period ◽  
Real Estate Market ◽  
Securities Markets ◽  
Real Estate Markets ◽  
The Global Financial Crisis ◽  
Real Estate Securities ◽  
New Evidence

This study examines the tail dependence of returns in international public real estate markets. By using the daily returns of real estate securities in seven cities/countries from 2000 to 2018, we analyze how the interdependence of international securitized real estate markets has changed since the Global Financial Crisis. We divide our sampling period into the pre-crisis, crisis, and post-crisis periods, and estimate both upper and lower tail dependence coefficients for each sub- period. Our empirical results confirm that most city/country pairs have changed from tail-independent to tail-dependent since 2007. Strong tail dependence persists during the crisis and post-crisis periods. The findings from the post-crisis sub-sample provide new evidence on increased tail dependence in the global real estate market in recent years. We conclude that international real estate securities still offer diversification benefits nowadays but to a lesser extent than in the pre-crisis period. Investing in the global real estate securities markets is beneficial for cross-region, mixed-asset portfolios.

Sign in / Sign up

Export Citation Format

Share Document