The Dynamics of the Australian Property Trust Market Risk and Correlation Profile

Correlation and Volatility Dynamics in International Real Estate Securities Markets

“…Gordon and Canter (1999) find that the unconditional correlation coefficients between real estate stock indexes and the wider public equity indexes in his sample of 424 securities from 14 countries have not been stable over time. Utilizing the Australian Property Trust (LPT) data in the period between 1980 and 2000, Newell and Acheampong (2001) find that the unconditional correlations between LPTs and common-stocks vary considerably, with an increased correlation between the LPTs and shares that is linked to the increased volatility of the LPT and stock markets. Liow and Sim (2006) detect some evidence of instability in the unconditional correlations between the US and the Asian real estate securities markets over 1990.…”

Factors Influencing the Performance of Listed Property Trusts

“…This evidence of market segmentation suggests that there are diversification benefits from including LPTs in an investment portfolio, particularly in conditions of increased stockmarket volatility (Newell and Acheampong, 2001). Both diversified and sector-specific strategies are equally effective for LPT portfolio diversification (Newell and Tan, 2003), with LPTs also showing evidence of superior property selection and market timing (Peng, 2004).…”

Development and Performance of the Public Real Estate Investment Sector in Finland

“…As known, ceteris paribus, the less the constituting assets in a multi-asset portfolio correlate with each other, the better. The literature on public real estate returns and diversification benefits suggests that correlations are not stable over time (Eichholtz, 1996b;Goldstein and Nelling, 1999;Newell and Acheampong, 2001;Schindler, 2009), thus the correlations are studied as rolling correlation between the stock market and the public real estate market (see Figure 6).…”

“…Longin andSolnik, 1995 andAng andBekaert, 2002) and on public real estate (see e.g. Newell and Acheampong, 2001;Liow, 2011) that the correlations between asset returns tend to increase when the market is down. To include this perspective in the analysis, another variable is included: rolling stock market volatility.…”