Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets

We construct synchronously priced indices of securitized property listed on theNew York Stock Exchange and London Stock Exchange. The indices are thenutilized to examine dynamic information flows between the two markets. By analyzingreturns behavior, asymmetric volatility spillover effects and exceedancecorrelations, this study shows that the real estate markets in these two countriesexperience significant interaction on a daily basis when synchronously priceddata are utilized. These results are different from when close-to-close returnsare examined, implying that the use of close-to-close data can misconstrue thetrue dynamics that exist between these markets. Results also show significantasymmetric effects on both the volatility and correlation dynamics between themarkets. This has several implications for property portfolio managers, indicatingthat positive and negative news impact the markets differently. This isparticularly true for the United Kindom, where daily foreign news from the UnitedStates can influence U.K. volatility.