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The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

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  • Das, Prashant
  • Füss, Roland
  • Hanle, Benjamin
  • Russ, Isabel Nina

Abstract

This paper examines the dependence in irrational sentiments across housing, commercial property, and stock markets. Our empirical results document an important and lasting impact that commercial real estate sentiment and returns have on broader financial markets. We also show that the cross-over effects of market sentiments are not consistent with cross-over effects in market returns. Sentiments and returns in housing and stock markets exhibit strong dependence on other markets, whereas they evolve independently in commercial real estate. While housing and stock market returns respond to irrational sentiment in commercial real estate markets, the opposite is not true.

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  • Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).
    • Handle: RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300674
    DOI: 10.1016/j.jbankfin.2020.105799
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    Cited by:

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    2. Petar Sorić & Blanka Škrabić Perić & Marina Matošec, 2022. "Breaking new grounds: a fresh insight into the leading properties of business and consumer survey indicators," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4511-4535, December.
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    6. Taiyi Zang & Hongmei Gu, 2023. "State-Space Modeling of Housing Sentiment for Regressing Changes of Real Estate Prices Following Short-Term Control Policy in China," Sustainability, MDPI, vol. 15(16), pages 1-19, August.

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    More about this item

    Keywords

    Commercial real estate; Housing market; Investor sentiment; Predictability; Stock market;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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