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Regime Changes in International Securitized Property Markets

Author

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  • Kim Liow
  • Haihong Zhu
  • David Ho
  • Kwame Addae-Dapaah

Abstract

Executive Summary. This study investigates the existence and nature of return and volatility shifts in international securitized property market returns over the period 1987-2003. The findings indicate that securitized property markets have strong switching behavior in volatility. They are either in a low return-high volatility state or in a high return-low volatility state. In addition, the two regimes are persistent with differences observed in the expected duration and frequency of shifts between the states among markets. The findings have important implications for optimal asset allocation and portfolio performance in international real estate markets.

Suggested Citation

  • Kim Liow & Haihong Zhu & David Ho & Kwame Addae-Dapaah, 2005. "Regime Changes in International Securitized Property Markets," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 11(2), pages 147-165, January.
    • Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:147-165
    DOI: 10.1080/10835547.2005.12089717
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    Cited by:

    1. Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 295-328, April.
    2. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.

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