The Journal of Real Estate Finance and Economics

, Volume 39, Issue 2, pp 202-223

First online:

Correlation and Volatility Dynamics in International Real Estate Securities Markets

  • Kim Hiang LiowAffiliated withDepartment of Real Estate, National University of Singapore Email author 
  • , Kim Hin David HoAffiliated withDepartment of Real Estate, National University of Singapore
  • , Muhammad Faishal IbrahimAffiliated withDepartment of Real Estate, National University of Singapore
  • , Ziwei ChenAffiliated withDepartment of Real Estate, National University of Singapore

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We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.


Time-varying correlation Volatility Dynamic conditional correlation model Real estate securities markets Stock markets