Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jian Yang & Yinggang Zhou & Wai Leung, 2012. "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 491-521, August.
- George Milunovich, 2011. "Measuring the Impact of the GFC on European Equity Markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1237-1246.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Mei, Jianping & Hu, Jiawei, 2000. "Conditional Risk Premiums of Asian Real Estate Stocks," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 297-313, November.
- Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006.
"Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets,"
Journal of International Money and Finance,
Elsevier, vol. 25(6), pages 974-991, October.
- Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
- John Cotter & Simon Stevenson, 2006.
"Multivariate Modeling of Daily REIT Volatility,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 32(3), pages 305-325, May.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- John Gallo & Ying Zhang, 2010. "Global Property Market Diversification," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 458-485, November.
- Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291.
- Chinmoy Ghosh & Randall S. Guttery & C. F. Sirmans, 1998. "Contagion and REIT Stock Prices," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 389-400.
- Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.
- Brian H. Boyer, 2011. "Style‐Related Comovement: Fundamentals or Labels?," Journal of Finance, American Finance Association, vol. 66(1), pages 307-332, February.
- Shaun Bond & Mardi Dungey & Renée Fry, 2006.
"A Web Of Shocks: Crises Across Asian Real Estate Markets,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 32(3), pages 253-274, May.
- Shaun A. Bond & Mardi Dungey & Renee Fry, 2004. "A web of shocks: Crises across Asian real estate market," CAMA Working Papers 2004-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Fry, RenÃ©e & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.
- Bradford Case & Yawei Yang & Yildiray Yildirim, 2012. "Dynamic Correlations Among Asset Classes: REIT and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 298-318, April.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance,
American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Kim Hiang Liow & Alastair Adair, 2009. "Do Asian real estate companies add value to investment portfolio?," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 27(1), pages 42-64, February.
- Bessler, Wolfgang & Nohel, Tom, 2000. "Asymmetric information, dividend reductions, and contagion effects in bank stock returns," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1831-1848, November.
- Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
- John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
- Ning Rong & Stefan Trück, 2010. "Returns of REITS and stock markets: Measuring dependence and risk," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 28(1), pages 34-57, February.
- Paulo Horta & Carlos Mendes & Isabel Vieira, 2010.
"Contagion effects of the subprime crisis in the European NYSE Euronext markets,"
Portuguese Economic Journal,
Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
- Paulo Horta & Carlos Mendes & Isabel Vieira, 2009. "Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets," CEFAGE-UE Working Papers 2009_01, University of Evora, CEFAGE-UE (Portugal).
- Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:bla:abacus:v:53:y:2017:i:3:p:319-348 is not listed on IDEAS
More about this item
KeywordsREITS; Contagion; Financial crisis; International factor model; Real estate; North America; Europe;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jpifpp:v:31:y:2013:i:1:p:53-77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jade Turvey). General contact details of provider: http://www.emeraldinsight.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.