文章基本信息

标题：Increased Tail Dependence in Global Public Real Estate Markets
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作者：Yang Deng ; Helen X.H.Bao ; Pu Gong 等
期刊名称：International Real Estate Review
印刷版ISSN：1029-6131
出版年度：2018
卷号：21
期号：2
页码：145-168
语种：English
出版社：Asian Real Estate Society, Global Chinese Real Estate Congress
摘要：This study examines the tail dependence of returns in international public real estate markets. By using the daily returns of real estate securities in seven cities/countries from 2000 to 2018, we analyze how the interdependence of international securitized real estate markets has changed since the Global Financial Crisis. We divide our sampling period into the pre-crisis, crisis, and post-crisis periods, and estimate both upper and lower tail dependence coefficients for each sub-period. Our empirical results confirm that most city/country pairs have changed from tail-independent to tail-dependent since 2007. Strong tail dependence persists during the crisis and post-crisis periods. The findings from the post-crisis sub-sample provide new evidence on increased tail dependence in the global real estate market in recent years. We conclude that international real estate securities still offer diversification benefits nowadays but to a lesser extent than in the pre-crisis period. Investing in the global real estate securities markets is beneficial for cross-region, mixed-asset portfolios.
关键词：Tail Dependence;Real Estate Investment Trust;Mixed-Assets;Real Estate;Copula