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The European sovereign debt crisis: contagion across European real estate markets

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  • Eddie C.M. Hui
  • Ka Kwan Kevin Chan

Abstract

This paper aims to investigate the contagion across European securitised real estate markets during the European sovereign debt crisis by the Forbes--Rigobon test, the coskewness test and the cokurtosis test. The new cokurtosis test is constructed by extending the method of constructing the coskewness test to further higher order moments. The results reveal that the cokurtosis test can show additional channels of contagion of which the other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. This study has implications to investors and policy-makers. During a crisis, investors should reallocate their portfolio to reduce their loss. Policy-makers should cooperate with other authorities and act accordingly in order to stabilise the economy.

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  • Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.
    • Handle: RePEc:taf:jpropr:v:30:y:2013:i:2:p:87-102
    DOI: 10.1080/09599916.2012.724441
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    Cited by:

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    2. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    3. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.
    4. Yuexiang Jiang & Luyuan Zheng & Jiazhen Wang, 2021. "Research on external financial risk measurement of China real estate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5472-5484, October.
    5. Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2021. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," Working Papers 202159, University of Pretoria, Department of Economics.
    6. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
    7. Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
    8. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 567-586, May.
    9. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2021. "New test of contagion with application on the Brexit referendum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 564(C).
    10. Stelios Bekiros & Amanda Dahlström & Gazi Salah Uddin & Oskar Ege & Ranadeva Jayasekera, 2020. "A tale of two shocks: The dynamics of international real estate markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 3-27, January.
    11. Tsai, I-Chun, 2018. "House price convergence in euro zone and non-euro zone countries," Economic Systems, Elsevier, vol. 42(2), pages 269-281.

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