Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum

Devaney, Steven; Xiao, Qin

doi:10.1016/j.mulfin.2017.10.002

Cited by 7 publications

(8 citation statements)

References 29 publications

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“…Another very interesting aspect of research, indirectly dealing with cyclicality, is associated with the problem of the effectiveness of stimulating it through government interventions (Zhou, 2018) and the presentation of how uncertainty of economic policy affects the housing market (Huang et al, 2018). Discussion concerned with the identification of periodic components, including cyclical component in the time series characterizing the construction market, in particular the housing market are explored in other studies (Bengtsson et al, 2018;Devaney and Xiao, 2017;Fan et al, 2019;Gabauer and Gupta, 2020;Liow and Newell, 2016;Yépez, 2018). As we mentioned above, the ability to determine the phase of the cycle of construction market is of particular assistance in determining the development potential of this market.…”

Section: Construction Market -Analysis Of Effects On the Economymentioning

confidence: 99%

“…Other studies concerned with the broadly understood investing in the housing market investigate the viability of investing in various investment options, and explores whether returns on investment in the shares of housing companies follow trends in the stock market. Another study examined the relationship between real estate stocks and private real estate investments (Devaney and Xiao, 2017). The next important research issue was associated with the exploration of the possibilities of diversifying investment portfolios through real estate investment funds (REIT) (La and Mei, 2015;Piao et al, 2016).…”

Section: Construction Market -Analysis Of Effects On the Economymentioning

confidence: 99%

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Comparison on Subannual Seasonality of Building Construction in European Countries

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

ERSJ

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Purpose: The objective of this study involves the determination of cyclical characteristics that occur on the European construction market. Design/Methodology/Approach: In the research implementation process, time-frequency analysis was used to identify and analyze cyclicalities in the construction market. Findings: The results clearly demonstrate the absence of a homogeneous construction market in the investigated countries. The diversity of the European construction market is revealed by the various responses to the periods corresponding to the ups and downs of the economy. Practical Implications: The present research provides grounds for the clear indication of specific countries and cyclical characteristics on the construction market in them to define guidelines suitable for the identification of adequate scenarios for the development of construction markets in them. Originality/value: The conclusion derived from the study is associated with the classification of construction markets and identification of various responses of individual markets to the occurrence of macroeconomic or microeconomic stimuli.

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Section: Construction Market -Analysis Of Effects On the Economymentioning

confidence: 99%

Section: Construction Market -Analysis Of Effects On the Economymentioning

confidence: 99%

Comparison on Subannual Seasonality of Building Construction in European Countries

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

ERSJ

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“…Several other studies have found this relationship to be weak, such as Barkham and Gelnter (1995), Mueller and Mueller (2003) and Hoesli and Moreno (2007). Hoesli and Oikarinen (2012) and Devaney and Xia (2017) find Australian market evidence of no significant co-movement for these assets, however these findings use appraisal-based returns, which can distort findings (see below).…”

Section: Introductionmentioning

confidence: 86%

“…This also proves to better align REITs and real estate but has only been applied to the US market. Furthermore, many studies use appraisal-based direct returns given data availability, such as in the studies by Hoesli and Oikarinen (2012) and Devaney and Xia (2017) for Australian returns. However, these returns suffer from smoothing bias, which reduces volatility.…”

Section: Introductionmentioning

confidence: 99%

The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level

Giannarelli

Tiwari

2020

JPIF

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PurposeThis paper examines the extent of the short-run relationship between Australian real estate investment trusts (A-REITs) and direct real estate returns on both a commercial property sector and a prime and secondary grade basis, i.e. a subsector basis.Design/methodology/approachTwo-step methodology is used. First, we identify the dynamic interdependencies between A-REITs and each commercial property subsector to determine whether the returns of A-REITs lead each subsector or vice versa. Second, short-run deviations between these asset returns are estimated by measuring their individual response behaviours to changes in key economic and financial market factors that are expected to influence these returns.FindingsResults suggest that each subsector shares a unique relationship to A-REITs, given each prime and secondary grade commercial property return series varies in behaviour. Some property subsector returns can be predicted by movements in A-REIT returns, whereas returns for others move independent to changes in A-REITs. Similarly, some subsectors commove with A-REITs in response to changes in certain market factors, whereas others diverge. As such, these findings have practical significance to fund managers and portfolio selection, as each commercial subsector embodies its own exposure to A-REITs and vulnerabilities to market forces. Subsectors that commove with A-REITs in response to certain market forces may be used as substitutes in a portfolio. Alternatively, subsectors that diverge from A-REITs in response to market forces may offer diversification benefits when combined.Practical implicationsThese findings extend beyond existing research to offer critical decision-making guidance at the acquisition level, as fund managers may more closely consider the impact that prime or secondary grade properties within a given commercial sector may have on a portfolio that consists of public and private Australian real estate. Ultimately, a more informed acquisition may be carried out as consideration of a property's asset grade allows for a deeper insight into the property's risk profile and its anticipated short-run impact on a portfolio.Originality/valueThis paper extends previous studies that focus mostly on aggregate or sector-level returns by measuring REIT and real estate dynamics at the subsector level, allowing for practical significance at not only the portfolio level but crucially at the acquisition level, a pivotal decision-making stage for fund managers. This is also the first paper to study REIT and real estate causality and response patterns to changes in market factors at the Australian sector level.

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“…Later studies analysed the justification of investing in various options while considering whether returns on investment in real estate stock reflect trends on the stock market. The relations between real estate stock were examined in correlation with private real estate investments (Devaney and Xiao, 2017). A presentation of the opportunities for diversifying the investment portfolio through investment funds in real estate was the next important research topic (REIT) (La and Mei, 2015;Piao, Mei, and Xue, 2016).…”

Section: A Literature Review On the Time-frequency Analysis Within Thmentioning

confidence: 99%

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

Mach¹,

Zmarzły²,

Dąbrowski³

et al. 2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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Due to the increasingly complex market situation characterized by the growing variability of its determinants, making accurate decisions is riddled with an increasing risk of error. Widely used economic methods for analyzing market phenomena with a trajectory of time series has proved insufficient in many cases. Hence, it becomes necessary to seek more precise analytic methods, based on which it is be possible to obtain more precise mapping and relations in real-life activities. The goal of the present study is to apply the time-frequency analysis in the domain of real estate. Based on the application of, among others, Savitzky-Golay filtering, spectral density analysis, or cross-correlation, the time-frequency analysis will render it possible to precisely identify the parameters that selectively determine the housing market. The obtained results will make it possible to decrease the informational gap in the investment decision-making process in the housing market

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Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum

Cited by 7 publications

References 29 publications

Comparison on Subannual Seasonality of Building Construction in European Countries

Comparison on Subannual Seasonality of Building Construction in European Countries

The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level

A time-frequency analysis of the housing construction time as the basis for making decisions on the construction market (the case study of Poland)

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