International Real Estate Market Integration and Price Discovery: Evidence from Nonlinear Cointegration Analysis

2005 ◽  
Keyword(s):  
Real Estate ◽  
Market Integration ◽  
Price Discovery ◽  
Real Estate Market ◽  
Cointegration Analysis

scholarly journals International Real Estate Review

2016 ◽  
Vol 19 (1) ◽  
pp. 27-49
Author(s):  
William Mingyan Cheung ◽  
◽  
James Chicheong Lei ◽  
Desmond Tsang ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Price Discovery ◽  
Common Factor ◽  
Significant Proportion ◽  
Real Estate Market ◽  
Reverse Causality ◽  
Public And Private ◽  
Real Estate Markets ◽  
The Public ◽  
Private Real Estate

This study examines whether property transaction affects the price discovery process in real estate markets. Prior literature shows that price discovery generally first takes place in the securitized public real estate investment trust (REIT) market. We conjecture that property transaction provides novel information to the direct real estate market and can change the dynamics between public and private real estate returns. We employ a unique dataset of property transactions to construct "transaction windows¨ and specifically examine the causality between public and private real estate markets around these periods. We form firm-level pairs of public and private price series, and estimate the normalized common factor loadings per Gonzalo and Granger (1995) by using a vector error-correction model. Our findings show that a significant proportion of price discovery happens in the private market instead of the public REIT market. Our results are robust to investments of different property types and different lengths of transaction windows. Overall, the findings in this study imply that property acquisition and disposition provide crucial information to the private real estate market and induce a reverse causality between the public and private markets.

European public real estate market integration

2005 ◽  
Vol 15 (13) ◽  
pp. 895-905 ◽  
Author(s):  
Jian Yang ◽  
James W. Kolari * ◽  
Guozhong Zhu
Keyword(s):  
Real Estate ◽  
Market Integration ◽  
Real Estate Market ◽  
European Public

Short Sales and Price Discovery in the Hong Kong Real Estate Market

2015 ◽  
Vol 45 (1) ◽  
pp. 133-153 ◽  
Author(s):  
Siu Kei Wong ◽  
Thomas C. C. Lai ◽  
Kuang Kuang Deng
Keyword(s):  
Hong Kong ◽  
Real Estate ◽  
Price Discovery ◽  
Real Estate Market ◽  
Short Sales

scholarly journals Volatility Spillover and International Contagion of Housing Bubbles

2021 ◽  
Vol 14 (7) ◽  
pp. 287
Author(s):  
Jean-Louis Bago ◽  
Koffi Akakpo ◽  
Imad Rherrad ◽  
Ernest Ouédraogo
Keyword(s):  
Real Estate ◽  
Market Integration ◽  
Housing Prices ◽  
Spillover Effects ◽  
The United States ◽  
Real Estate Market ◽  
Time Varying ◽  
Volatility Spillover ◽  
Varying Coefficients ◽  
Time Varying Coefficients

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.

scholarly journals Private-equity commercial real estate, timberland, and farmland: market integration and information transition dynamics

2020 ◽  
Vol 50 (11) ◽  
pp. 1101-1112
Author(s):  
Bin Mei ◽  
Wenbo Wu ◽  
Wenjing Yao
Keyword(s):  
Real Estate ◽  
Market Integration ◽  
Private Equity ◽  
Real Estate Market ◽  
Commercial Real Estate ◽  
National Council ◽  
Transition Dynamics ◽  
Vector Error Correction ◽  
Market Fundamentals ◽  
Using Data

Using data from the National Council of Real Estate Investment Fiduciaries (NCREIF), we examine market integration of commercial real estate and timberland–farmland assets via the Fama–MacBeth two-step approach under the intertemporal capital asset pricing framework. In addition, we study the information transition dynamics between those markets via the vector error correction model (VECM). We find evidence of market segregation and one-way information flow from the timberland–farmland market to the commercial real estate market. We conclude that commercial real estate and timberland–farmland assets are driven by different market fundamentals and that lagged timberland–farmland returns can help predict current commercial real estate returns. The only exception is during market downturns when commercial real estate and timberland–farmland markets are somewhat integrated and driven by some factors that are not specified in this study.

Price discovery in the Hong Kong real estate market

2001 ◽  
Vol 18 (3) ◽  
pp. 187-216 ◽  
Author(s):  
K.W. Chau ◽  
Bryan D. MacGregor ◽  
Gregory M. Schwann
Keyword(s):  
Hong Kong ◽  
Real Estate ◽  
Price Discovery ◽  
Real Estate Market

Non-mortgage loans in the Chinese residential real estate market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kerry Liu
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Cointegration Analysis ◽  
Residential Real Estate ◽  
Mortgage Loans ◽  
Data Set ◽  
Monthly Data ◽  
Content Type ◽  
Real Estate Prices

Purpose From January 2021, the potential flow of Chinese household non-mortgage loans, including business loans and short-term consumption loans to the residential real estate market, has attracted the attention of the regulatory authorities. This study aims to examine the effects of household non-mortgage loans on the Chinese residential real estate market. Design/methodology/approach Based on a monthly data set between July 2011 and December 2019, this study adopts a cointegration analysis. Findings This study finds that household non-mortgage loans do play a significant role in driving residential real estate prices in China. Originality/value While many studies have examined the Chinese real estate market and its linkage with the financial system and the economy, this study is the first of its kind in the academic literature that exclusively focusses on the role of non-mortgage loans in real estate prices, and makes an original contribution.

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