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Title: Volatility and dynamics of public and private real estate market returns in Hong Kong
Authors: Chen, Suikang (陳歲康)
Department: Department of Economics and Finance
Issue Date: 2016
Course: EF5409 Urban and Real Estate Economics
Programme: Master of Science in Applied Economics
Supervisor: Dr. Leung, Ka Yui Charles
Citation: Chen, S. (2016). Volatility and dynamics of public and private real estate market returns in Hong Kong (Outstanding Academic Papers by Students (OAPS)). Retrieved from City University of Hong Kong, CityU Institutional Repository.
Abstract: This paper attempts to study the volatility and dynamics of public traded equity REITs returns and private real estate market returns using Hong Kong data. Levered and unlevered REITs returns are constructed for public real estate market, while series of private market returns are also constructed as counterpart. The results suggest public real estate returns exhibit higher volatility than private market returns. At the same time, our VAR model using unlevered REITs return and private market return as endogenous variables suggests that returns of private real estate market cannot predict the REITs returns in the subsequent period, while REITs returns have very limited prediction power for the private market.
Appears in Collections:OAPS - Dept. of Economics & Finance

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