Do securitized real estate markets jump? International evidence

摘要

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jumps exist during both crisis and non-crisis periods. There is also evidence that jump intensity over time across different markets is inversely related to the degree of economic and financial integration, yet the degree of political and social integration yields no additional explanatory power beyond these two factors. (C) 2014 Elsevier B.V. All rights reserved.