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Comovements in UK regional property markets: A multivariate cointegration analysis

Worthington, Andrew C. & Higgs, Helen (2003) Comovements in UK regional property markets: A multivariate cointegration analysis. Journal of Property Investment and Finance, 21(4), pp. 326-347.

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Abstract

This paper examines the short and long-term comovements among UK regional property markets over the period 1976-2001. The markets examined are London, Outer South-East, East Anglia, South West, East Midlands, West Midlands, Yorkshire and Humberside, North and North West. Multivariate cointegration procedures, Granger non-causality tests, level VAR and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to analyse short and long-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant long-run causal linkages between the various UK property markets. In terms of the percentage of variance explained other regional markets are generally more important than innovations in a given region, though this is not the case for the Outer South-East which is extremely segmented from the remaining markets, as is, to a lesser extent, the North and North West. This suggests that opportunities exist for portfolio diversification in UK regional property market.

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ID Code: 2542
Item Type: Journal Article
Keywords: Regional property markets, Portfolio diversification, Short and long, run relationships
DOI: 10.1108/14635780310483629
ISSN: 1463-578X
Subjects: Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > COMMERCIAL SERVICES (150400) > Real Estate and Valuation Services (150403)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Urban and Regional Economics (140218)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2003 Emerald
Copyright Statement: Reproduced in accordance with the copyright policy of the publisher.
Deposited On: 15 Nov 2005
Last Modified: 05 Jan 2011 23:25

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