Extreme risk spillover among international REIT markets
AbstractThis article studies extreme risk spillovers among international Real Estate Investment Trust (REIT) markets. We apply the procedure of Granger causality in risk to six major markets. Our full-sample (1991--2010) results suggest that strong risk spillovers, which could be unidirectional or bidirectional, are not universal across markets. Moreover, downside spillovers are found generally more common and stronger than upside spillovers. Further analyses based on three subsamples indicate that risk spillover has become more frequent and stronger over time. This adds onto the evidence of increasing financial integration. Taken together, our findings have important implications for international portfolio diversification and risk management.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 23 (2013)
Issue (Month): 2 (January)
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hossein Asgharian & Christoffer Bengtsson, 2006. "Jump Spillover in International Equity Markets," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 167-203.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"Volatiltiy and Links Between National Stock Markets,"
NBER Working Papers
3357, National Bureau of Economic Research, Inc.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
- Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
- David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, 03.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
- Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006. "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 53-89.
- Jian Zhou & Randy Anderson, 2012. "Extreme Risk Measures for International REIT Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 152-170, June.
- Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 295-328, April.
- Lu, Chiuling & Wu, Sheng-Ching & Ho, Lan-Chih, 2009. "Applying VaR to REITs: A comparison of alternative methods," Review of Financial Economics, Elsevier, vol. 18(2), pages 97-102, April.
- Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometric Society, vol. 58(3), pages 525-42, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1991. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Fan, Ying & Zhang, Yue-Jun & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach," Energy Economics, Elsevier, vol. 30(6), pages 3156-3171, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.