Modelling Linkages between US and Asia-Pacific Securitized Property Markets

The aim of this paper is to examine long-run relationships and short-run causal linkages among the public property markets of the Asia-Pacific region (Australia, Hong Kong, Japan and Singapore) and the US over a period beginning January 2000 and ending March 2006. Long-term results indicate that, from the perspective of the US investor, the markets of Hong Kong and Japan provide the greater diversification benefits. Short-run causality tests show no significant lead-lag relationships between the property market of the US and those of the Asia-Pacific markets, indicating a wide range of possible diversification opportunities. Thus, US investors in international real estate markets can derive diversification benefits from investing in these public property markets both in the long and short run.