Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests

摘要

This article examines the degree of interdependence among the securitized property markets of six major countries and the United States. Long-run results indicate that, over a period beginning January 1990 and ending August 2007, the property markets of Australia, Hong Kong, Japan, the United Kingdom and the United States are tied together, implying that from the perspective of the U.S. investor the markets of the Netherlands and France provide the greater diversification benefits. Further, the United States and Japan are found to be the sources of the common trends, suggesting that the two larger property markets lead the five (cointegrated) markets toward the long-run equilibrium relationships.