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Dynamic Relationships Between Economic Globalisation and Cross-Public Property Market Correlations

Abstract In this paper, the dynamics and current status of economic globalization and cross-public property market correlations, as well as their linkages, among the three Greater China (GC) economies (mainland China, Hong Kong and Taiwan) and across the GC region with their regional and international partners (Japan, Singapore, Australia, the US and the UK) are assessed. Results indicate that there is adequate evidence of economic globalization represented by three international parity variables (real interest differential, uncovered interest differential and relative purchasing power differential) that are likely to hold as a long-run equilibrium condition. The increased cross-public property market correlations and cross-stock market correlations imply that international capital markets have become increasingly linked over the study period. Over the last two decades, there were moderate degrees of co-movements between economic globalization and cross-public property market correlations across the three parity measures. Specifically, the dynamic correlation analysis finds wide differences for different frequencies of cyclical development over the economic cycle. Economic globalization and cross-public property market correlations are moderately linked in the long-run; but in a different manner according to the frequencies and economy-pairs considered, particularly for the short-run frequencies. Moreover, the underlying dynamic relationships between economic globalization and cross-market correlations are different for securitizedproperty and stock markets.