...Ning Rong; Stefan Trück Purpose The purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the aim is to illustrate how copula approaches can be applied to model the complex...

...Nikiforos Laopodis Purpose The purpose of this paper is to investigate the linkages among real estate investment trusts (REITs), the stock market, and real economic activity for the USA for the 1971‐2007 period. In view of the fact that when the economy performs well the equity and REIT markets...

...Chee Seng Cheong; Patrick J. Wilson; Ralf Zurbruegg Purpose Given the mixed findings in the literature, this paper aims to re‐examine the relationship that the securitised property market has with both the fixed income and general stock markets in the UK and Australia from July 1998 to June 2006...

...Kim Hiang Liow Purpose The purpose of this paper is to investigate and compare the extreme behavior of securitized real estate and stock market returns as well as their value‐at‐risk (VaR) dynamics in international investing. Extreme value theory using the block maxima method is applied to ten...

... are valuable in the field of real estate investment performance measurements, a gap still exist in the literature on the comparative performance of investment assets in the various sectors of the stock markets of most emerging economies. This paper aims to fill the gap by providing analysis of the historical...

...‐varying and dynamically linked to the conditional volatilities of the macroeconomic risk factors. However there are some disparities in the significance, as well as direction of impact in the macroeconomic risk factors across the property stock markets. Consequently there are opportunities for risk...

...Eamonn D'Arcy; Sotiris Tsolacos; Kim Hiang Liow; Joseph Ooi; Yantao Gong Purpose Aims to investigate the long‐run and short‐term relationships among four Asian property stock markets of Japan, Hong Kong, Singapore and Malaysia; and four European property stock markets of UK, France, Germany...

... firm effect[2].” This leads us to subsequently test the joint cointegration relationships of the prices of these four “large capitalized firms” with prices of other sample stocks. © MCB UP Limited 2001 Property markets Stock markets Assets Diversification Cointegration...

...Andrew Baum Discusses the attractions of property to institutional investors. Describes the evolution of future markets from forward contracts in commodity markets and financial and stock market index futures to the current UK proposal for property index futures. Concludes that property...