Co-movements and Correlations Across Asian Securitized Real Estate and Stock Markets

We find conditional real estate-stock correlations at the local, regional and global levels are time varying and asymmetric in some cases for our sample of eight Asian securitized real estate markets over 19952009. Real estateglobal stock correlations co-move significantly and positively with real estateregional stock correlations and real estatelocal stock correlations. They are also influenced significantly by relative (real estate/stock) volatilities and their lags at three integration levels. Furthermore, real estate and stock volatilities, covariances and correlations increased from the preglobal financial crisis period to the crisis period. However, real estate and stock volatility are more important than correlation in causing the changes in covariance during both the precrisis and crisis periods. Finally, exchange rate volatility appears to have played a relatively less important role in these cross real estatestock correlations.