Structural breaks, diversification and international real estate markets — some new evidence

Abstract

This paper presents further evidence that real estate markets around the world are interrelated. Although it is shown that an initial examination may reveal that international real estate markets are not linked, once structural changes are accounted for, it becomes apparent that there are long-running relationships in securitised real estate returns across the world. This paper also shows that monetary changes in the USA – the world's leading economy – can impact on international real estate markets. This has major implications for investment and fund managers alike, who must reconsider the benefits of international real estate diversification. Copyright © 2002 Henry Stewart Publications