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Global Financial Integration, Real Estate Security Returns and Financial Crisis

Author

Listed:
  • Yiyi Dong
  • Charles Ka Yui Leung

    (City University of Hong Kong)

Abstract

This paper re-examines whether the global economic and financial integration affects the excess return of a sample with more than 1300 real estate companies from 16 major economies in the world, covering the pre-crisis period (1995-2006), the in-crisis period (2007-2009) and the post- crisis period (2010-2014). The results of the whole sample are compared with those of each geographically-divided sub-group, as well as those obtained in different sub-samples. We confirm that the global financial integration has significant influences on the excess returns of real estate firms. The Global Financial Crisis (GFC) may have significantly changed the relationship between the excess return of a real estate firm and many macroeconomic and firm-level variables, including the economic openness of a country. Such change may also be continent-dependent. Explanations and directions for future research are also discussed.

Suggested Citation

  • Yiyi Dong & Charles Ka Yui Leung, 2017. "Global Financial Integration, Real Estate Security Returns and Financial Crisis," GRU Working Paper Series GRU_2017_015, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    • Handle: RePEc:cth:wpaper:gru_2017_015
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    File URL: https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%20%232017-015%20Dong%20Leung.pdf
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    More about this item

    Keywords

    globalization; economic openness; real estate returns; financial crisis; economic recovery;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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