Dynamic Conditional Correlation Analysis in International Real Estate Security Markets

Abstract

本文以國際上市不動產投資信託（REITs）為研究標的，探究其指數日報酬之相關性與波動性，樣本期間自2005/12/1至2010/5/31。同時，我們亦研究國際股市之相關性以作為比較分析。本文主要利用動態相關性模型（DCC），分別檢視國際不動產證券市場報酬與股市報酬之跨時相關性。實證研究發現，國際不動產證券市場之相關性低於股市。此外，我們預計在全球次貸危機期間，相關性會存在結構性改變。透過DCC模型分析國際不動產證券市場之相關性與波動性，進而佐證國際市場的市場整合性與投資風險分散的財務意涵。

In this paper, we examine international correlation and volatility of publicly traded real estate investment trusts (REITs) using daily returns from 2005/12/1 to 2010/5/31. We also study, in comparison, the correlations among equivalent stock markets. Based on a multivariate dynamic conditional correlation (DCC) model which captures the time-varying correlations within the full period, this paper empirically shows that there are lower correlations among the real estate security markets returns than among the stock markets returns. We forecast that variations and structural changes in the correlation structure happened within the sample period of subprime mortgage crises. Applying DCC methodology, our results have motivations concerning the potential integration of international real estate security markets and the possibility of including information on changing correlations and volatilities to set up more optimal portfolios of international real estate securities.