This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less...

We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime...