Correlation structure and dynamics of international real estate securities markets: A network perspective
Correlation structure and dynamics of international real estate securities markets: A network perspective
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DOI：
10.1016/j.physa.2015.01.025
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发表时间：
2015-04
影响因子：
3.3
通讯作者：
Gangjin Wang;Chi Xie
中科院分区：
文献类型：
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作者：
Gangjin Wang;Chi Xie
本文利用2006-2012年间20个国家房地产市场的日收益率数据，从网络的角度考察了国际房地产证券市场的相关性结构和动态变化。根据调查期间的日收益率计算得到的相关矩阵，构造了最小生成树(MST)、层次树(HT)和平面最大过滤图(PMFG)，并分析了相应的聚类结构、层次结构和社团结构。我们还通过滚动窗口构建了时变的MST和PMFG网络，以考察相关结构的动力学。实证结果表明：(1)相关系数分布具有非对称性、厚尾性和非高斯性。(2)MST和PMFG网络的影响强度服从幂函数分布。(3)在MST网络中发现了两个集群(即欧洲和亚太集群)，在HT网络中发现了三个等级集群(即MST和北美集群中的两个)，在PMFG网络中发现了三个社区，这表明各国市场按照地理分布联系在一起。(4)MST和PMFG的相关系数和距离的描述性统计是时变的，特别是在危机时期，它们有很大的波动。(5)各国市场之间存在着大量的关联，国际房地产证券市场关联结构的长期稳定性随着时间的推移而下降。我们的研究结果是国际房地产证券市场的新见解，在投资组合和风险管理方面有广泛的应用。
In this paper, we investigate the correlation structure and dynamics of international real estate securities markets by using daily returns of 20 national markets during the period 2006–2012 from a network perspective. We construct the minimum spanning tree (MST), the hierarchical tree (HT), and the planar maximally filtered graph (PMFG) obtained from the correlation matrix computed by the daily returns during the investigated period, and analyze the corresponding clustering structure, hierarchical structure, and community structure. We also build the time-varying MST and PMFG networks by a rolling window to examine the dynamics of correlation structure. The empirical results show that (1) the distribution of correlation coefficients is asymmetric, fat-tailed, and non-Gaussian. (2) The distributions of the influence-strength of the MST and PMFG networks obey a power-law. (3) Two clusters (i.e., the European and Asia-Pacific clusters) are found in the MST network, three hierarchical clusters (i.e., two like in the MST and the North American cluster) in the HT, and three communities in the PMFG network, which shows that national markets are linked together according to their geographical distributions. (4) The descriptive statistics of correlation coefficients and distances of the MSTs and PMFGs are time-varying; especially during periods of crisis they have a large fluctuation. (5) A huge number of linkages between national markets survive from one time to the next, and the long-term stability of the correlation structure in international real estate securities markets descends as time goes on. Our obtained results are new insights in international real estate securities markets and have wide applications for investment portfolio and risk management.