Correlation Dynamics and Determinants in International Securitized Real Estate Markets
研究了1995至2012年间八个发达国家证券化房地产市场与股票市场的相关性动态，发现全球房地产证券波动率、REIT影响等五个房地产变量能显著解释国际房地产回报的相关性。
We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the period from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime switching. Moreover, international correlations of public property returns could be significantly explained by five real estate variables that include global real estate securities market volatility, co‐existence of real estate investment trust (REIT) influence, underlying direct real estate return performance differential, real estate securities volatility differential and real estate securities market size differential after controlling for macroeconomic influence and stock market effect. The importance of the control and real estate variables in explaining the return correlations varies across the economies examined.