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The Impact of Real Estate Market Transparency on Dynamics between Direct and Indirect Real Estate

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  • Yun Luo
  • Kwong Wing Chau

Abstract

This paper provides cross-country evidence of the linkage between real estate market transparency and the dynamics between direct and indirect real estate, which is seldom examined in the previous literature. First, by adopting a variance decomposition procedure, the proportion of indirect real estate volatility that is attributable to 'pure' direct real estate, stock and bond factors in 18 countries over 1998-2012 is assessed. Second, the correlation between real estate market transparency and dynamics between these two real estate markets is examined. This paper concludes that real estate market transparency is significantly associated with the linkage between direct and indirect real estate, especially on the transaction aspects. These results have significant implications for international investment fund managers to consider the possibility of real estate securities as substitution for global property investment whilst enjoying the liquidity benefits.

Suggested Citation

  • Yun Luo & Kwong Wing Chau, 2013. "The Impact of Real Estate Market Transparency on Dynamics between Direct and Indirect Real Estate," ERES eres2013_35, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2013_35
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    References listed on IDEAS

    as
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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