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Financial crisis and the real estate market in Greece: the impact on bank stock prices

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  • Nicholas Apergis

Abstract

This study investigates the relationship between the stock mean returns of banking institutions and the returns of real estate investment trusts (REITs) as well as of their volatility between them for the Greek banking system using the methodology of general autoregressive conditional heteroskedasticity models. The REITs are used as a proxy for the performance of the real estate loan sector, whereas the volatility relationship allows for the investigation of the direction of risk between different types of assets. The results show that the returns of REITs affect the stock returns of banking institutions involved in the real estate market. The impact is more intense after the recent international financial crisis outbreak.

Suggested Citation

  • Nicholas Apergis, 2012. "Financial crisis and the real estate market in Greece: the impact on bank stock prices," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 4(5), pages 530-539.
    • Handle: RePEc:ids:ijecbr:v:4:y:2012:i:5:p:530-539
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