Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies

Purpose The purpose of this paper is to revisit the dynamic linkages between the US and the national securitized real estate markets of each of the nine Asian-Pacific (APAC) economies in time-frequency domain. Design/methodology/approach Wavelet decomposition via multi-resolution analysis is employed as an empirical methodology to consider time-scale issue in studying the dynamic changes of the US-APAC cross-real estate interdependence. Findings The strength and direction of return correlation, return exogeneity, shock impulse response, market connectivity and causality interactions change when specific time-scales are involved. The US market correlates with the APAC markets weakly or moderately in the three investment horizons with increasing strength of lead-lag interdependence in the long-run. Moreover, there are shifts in the net total directional volatility connectivity effects at the five scales among the markets.