Long-Term Benefits from Investing in International Securitized Real Estate


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Felix Schindler

27 / 60




International Real Estate Review


This paper analyzes long- and short-term co-movements between 14 international real estate stock markets based on cointegration and correlation analyses. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less long-run linkages between real estate markets in different continents. Thus, investors would benefit from broadening their investment horizon from their domestic continent to Australia, Europe, and North America. Furthermore, it is shown that within each region, there are one or two key markets that influence neighboring markets, such as Australia in the Asia-Pacific region, the US in the Anglo-Saxon countries, and France and the Netherlands in the European Monetary Union (EMU). Therefore, from an investorˇs point of view, it is implied that it should be sufficient to only focus on these central markets. With respect to the efficient market hypothesis, the findings by the cointegration analysis further question its validity for securitized real estate markets.

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