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Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum

Devaney, Steven; Xiao, Qin


Steven Devaney


Whether returns from investing in real estate shares reflect equity market or real estate market trends is an important question for investors seeking liquid, low cost exposure to real estate. We consider the relationship between real estate shares, private real estate investments and equity markets for five locations: Australia, Hong Kong, Singapore, UK and US. We utilise spectral and cross-spectral techniques to decompose each time series into cyclical components of differing frequencies. This allows correlations for a range of cyclical components to be analysed. Our results suggest that returns from real estate shares share a number of short frequency cycles with the equity market. Longer cycles are evident in both real estate shares and private real estate returns, but these cycles are not always shared. Hence, real estate shares and private real estate may not always be close substitutes, even over longer horizons, but the relationship varies across our locations.


Devaney, S., & Xiao, Q. (2017). Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum. Journal of Multinational Financial Management, 42-43, 132-151. doi:10.1016/j.mulfin.2017.10.002

Journal Article Type Article
Acceptance Date Oct 2, 2017
Online Publication Date Oct 5, 2017
Publication Date 2017-12
Deposit Date Oct 6, 2017
Publicly Available Date Oct 6, 2019
Journal Journal of multinational financial management
Print ISSN 1042-444X
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 42-43
Pages 132-151
Keywords Real estate; Spectral analysis; Transaction indices; Disaggregated data
Public URL
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Additional Information This is the accepted manuscript of an article published in Journal of multinational financial management, 2017. The version of record is available at the DOI link in this record.


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©2019, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license

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