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Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration

We empirically explore integration among US, UK, Japanese and Australian securitised real estate markets and their interdependencies from the global stock market based on dynamic conditional correlation analysis and conditional return‐volatility beta methodology. Results imply that international links have been increasing over time, especially for the largest securitised real estate markets and the global stock market, although their integration process has been much slower than among the corresponding stock markets and from the global stock market. In addition, the conditional return‐volatility beta analyses indicate the four real estate securities markets do not share the same volatility process. Our analyses and results have important implications for international real estate portfolio diversification.