Co-Movement Relationship of Asian Listed Property Companies

摘要

The securitised market in Asia has become more progressive recently, particularly with the introduction of Real Estate Investment Trusts (REITs). The deregulation in the Asian property market has turned property market into a convenient means to invest. Nevertheless, the Asian propertymarket has become more complex to understand, particularly for institutional investors. As such it is important to understand the market’s integration, especially the Asian property market within pan-Asian countries. This research attempts to study the co-movement relationship betweensecuritised real estate and mixed asset portfolios in Asia. The aim of this research is to examine dynamic of relationships among public property markets of the Pan Asian region, namely Malaysia, Vietnam, Singapore, Thailand, Japan, South Korea, Taiwan, China and The Philippines. The periodof the study runs from the beginning of January 1998 to the end of December 2016.