The Prospects for Geographic Diversification in UK Regional Property Investment: Implications Derived from Multivariate Cointegration Analysis: Discussion Paper No. 111
Higgs, Helen & Worthington, Andrew C. (2002) The Prospects for Geographic Diversification in UK Regional Property Investment: Implications Derived from Multivariate Cointegration Analysis: Discussion Paper No. 111. [Working Paper]
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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|Item Type:||Working Paper|
|Keywords:||Regional property markets, Portfolio diversification, Short and long, run relationships|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2002 (please consult author)|
|Deposited On:||08 Nov 2004|
|Last Modified:||05 Jan 2011 23:24|
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