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The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets

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  • Kim Hiang Liow

Abstract

We find clustering, predictability, strong persistence and asymmetry in the conditional volatilities of national, regional and world real estate security markets. The world real estate security market volatility has a positive impact on the time‐varying real estate security market betas of Asia‐Pacific, Hong Kong, Singapore and Malaysia, and a negative impact on the real estate security market betas of Europe and the UK. The extra country--specific market volatility and global market volatility during the Asian financial crisis period impose a larger size influence than the volatility during total period in some markets. In addition, our results appear to favor the time‐varying beta estimates relative to the world real estate security market index over the world stock market index. The implications for international investors and global portfolio managers is that failing to understand the complex dynamics of real estate security market return, volatility and systematic risk relative to the world markets may make it less possible to ascertain the true potential of international real estate diversification that includes Asia‐Pacific securitized real estate.

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  • Kim Hiang Liow, 2006. "The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(1), pages 1-29, November.
    • Handle: RePEc:taf:jpropr:v:24:y:2006:i:1:p:1-29
    DOI: 10.1080/09599910701297663
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    Cited by:

    1. Graeme Newell & Chau Kwong Wing & Wong Siu Kei & Liow Kim Hiang, 2009. "The significance and performance of property securities markets in the Asian IFCs," Journal of Property Research, Taylor & Francis Journals, vol. 26(2), pages 125-148, October.
    2. Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014. "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, vol. 37(C), pages 137-142.
    3. Sanjay Rajagopal & Patrick Hays, 2012. "Return Persistence in the Indian Real Estate Market," International Real Estate Review, Global Social Science Institute, vol. 15(3), pages 283-305.
    4. Kim Liow & Muhammad Ibrahim, 2010. "Volatility Decomposition and Correlation in International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 40(2), pages 221-243, February.
    5. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    6. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
    7. Schindler, Felix, 2009. "Long-term benefits from investing in international real estate," ZEW Discussion Papers 09-023, ZEW - Leibniz Centre for European Economic Research.
    8. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.

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