Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests
研究了1990年1月至2007年8月间美国与六个主要国家证券化房地产市场的长期关系，发现澳大利亚、香港、日本、英国和美国市场存在协整，而荷兰和法国市场为美国投资者提供了更大的分散化收益。
This article examines the degree of interdependence among the securitized property markets of six major countries and the United States. Long‐run results indicate that, over a period beginning January 1990 and ending August 2007, the property markets of Australia, Hong Kong, Japan, the United Kingdom and the United States are tied together, implying that from the perspective of the U.S. investor the markets of the Netherlands and France provide the greater diversification benefits. Further, the United States and Japan are found to be the sources of the common trends, suggesting that the two larger property markets lead the five (cointegrated) markets toward the long‐run equilibrium relationships.