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Type: Journal article
Title: Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets
Author: Michayluk, D.
Wilson, P.
Zurbrugg, R.
Citation: Real Estate Economics, 2006; 34(1):109-131
Publisher: M I T Press
Issue Date: 2006
ISSN: 1080-8620
Statement of
David Michayluk, Patrick J. Wilson, Ralf Zurbruegg
Abstract: We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior, asymmetric volatility spillover effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis when synchronously priced data are utilized. These results are different from when close-to-close returns are examined, implying that the use of close-to-close data can misconstrue the true dynamics that exist between these markets. Results also show significant asymmetric effects on both the volatility and correlation dynamics between the markets. This has several implications for property portfolio managers, indicating that positive and negative news impact the markets differently. This is particularly true for the United Kindom, where daily foreign news from the United States can influence U.K. volatility.
Description: The definitive version is available at
RMID: 0020060042
DOI: 10.1111/j.1540-6229.2006.00161.x
Appears in Collections:Business School publications

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