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• W3124927998 abstract "1. Introduction There has been growing interest in investing in real estate due to its ability to hedge inflation, diversify and balance investment portfolios, reduce risk, and generate a stable flow of income (Hudson-Wilson et al., 2005). The benefits of increasing real estate exposure in portfolios are well documented (see, for example, Maroney & Naka, 2006; Stevenson, 2004; and Ling & Naranjo, 2002), but the management of real estate poses challenges for portfolio managers due to the illiquidity issue and the difficulty in diversifying across property types. The introduction of real estate investment trusts (REITs) alleviates the illiquidity problem by securitizing real assets and also creates diversification opportunities. Some REITs specialize in real estate in certain regions (for example, the Japanese property market) or sectors (for example, office buildings), and investors can choose to combine different REITs to reduce risk. Other REITs also diversify across regions and/or sectors. In such cases, a sound understanding of the inter-relationships between real estate returns across different market segments is essential for individuals, institutional investors, and REIT managers to make investment decisions. This is an even more pressing issue in the fast-growing Asian real estate market, where REITs are still in their infancy. There is a need for research on the inter-relationship between real estate sectors and geographic regions in terms of returns and volatility. This study is set in Hong Kong, where real estate plays an essential role in the regional economy. The initial public offering (IPO) of the first Hong Kong REIT, the Link REIT, occurred in November 2005. At the time of writing, there are six REITs in Hong Kong, primarily covering the office and retail sectors (see Table 1 for details). The short history of REITs in this market does not allow risk and return correlations across the six REITs to be fully analyzed, but such a study will help Hong Kong REIT managers to diversify their investment across sectors, and institutional investors to optimize their portfolios by including different REITs. The objective of this study is to examine the inter-relationships between the returns, volatilities, and time-varying correlations in the office, retail, and residential property markets in Hong Kong. By revealing the dynamics of the Hong Kong property market, this study casts light on the opportunities that are available for diversifying investment portfolios, and provides suggestions for the future development of REITs in Hong Kong. Research on the Hong Kong real estate market has generally focused on areas other than portfolio management. Intensive studies have been conducted in the areas of housing policy (see, for example, La Grange and Pretorius, 2005; La Grange, 2001; and La Grange and Pretorius, 2000), market efficiency and behaviour (for example, Chau, Wong, and Yiu, 2007; Xiao and Tan, 2007; Wong, Yiu, Tse, and Chau, 2006; Hui and Yue, 2006), housing prices (Yiu and Wong, 2005; Leung and Feng, 2005; Tse, 2002, to name but a few), and the relationship between real estate and other financial markets (for example, Lu and So, 2005; Fu and Ng, 2001). There is thus a need for empirical studies on the inter-relationships between real estate sectors in Hong Kong to guide investment decisions. Evidence has shown the time-varying nature of the correlations between real estate sub-markets (see, for example, Glascock, Lu, and So, 2000). Hence, efforts have been made to examine dynamic volatility and correlation in real estate markets. For example, Cotter and Stevenson (2006) use a vector autoregressive-generalized autoregressive conditional heteroscedasticity (VAR-GARCH) model to study the daily REIT volatility in the US market, and Michayluk, Wilson, and Zurbruegg (2006) conduct a similar study using data from the New York and London Stock Exchanges. However, the BEKK process that they adopted for their GARCH models can only handle low-dimension cases. …" @default.
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• W3124927998 date "2009-04-01" @default.
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• W3124927998 title "Modelling Price Dynamics in the Hong Kong Property Market" @default.
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