论文标题：Co-movement of greater china real estate markets: Some time-scale evidence

　　发表时间：2019

　　论文所有作者： Kim Hiang Liow, Xiaoxia Zhou, Qiang Li, Huang Yuting 

　　期刊名及所属分类：Journal of Real Estate Research(国际B)

　　英文摘要：The novelty of this study is the use of wavelets, which make it possible to assess simultaneously how the Greater China (GC) and international securitized real estate markets comove at various frequencies. From the wavelet analysis, investors can extract the time scale that most interests them. We apply both continuous wavelet coherency modeling and discrete decompositions to unveil the multi-horizon nature of the co-movement relationship. We find that the examined real estate market co-movement is a “multi-scale” phenomenon. The strength of the return linkage increases with scales. The co-movement within and across the three GC markets is unstable and the pattern of the relationship is non-uniform across various time scales. The strongest degree of cross-market connection occurs during the global financial crisis period and at the longest investment horizon of 256–512 days. Moreover, the real estate-stock returns of the three GC economies are less correlated in the long run, implying potential opportunities for both time and scale in GC real estate-stock portfolio diversification activities.

　　中文摘要：本研究的新颖之处在于使用了小波，这使得同时评估大中华区(GC)和国际证券化房地产市场在不同频率下的波动情况成为可能。从小波分析中，投资者可以提取出他们最感兴趣的时间尺度。我们采用连续小波相干建模和离散分解来揭示共动关系的多层本质。我们发现，所研究的房地产市场协同运动是一个“多尺度”现象。回归联动的强度随规模的增加而增加。三个GC市场内部和之间的协同运动是不稳定的，在不同的时间尺度上，这种关系的模式是不均匀的。最强烈的跨市场连接发生在全球金融危机期间，最长的投资期限为256-512天。此外，三个GC经济体的房地产股票收益在长期内相关性较低，这意味着GC房地产股票投资组合多元化活动在时间和规模上都存在潜在的机会。