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Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns

Author

Listed:
  • Martin HOESLI

    (University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Ecole de Management)

  • Kustrim REKA

    (University of Geneva (HEC))

Abstract

The aim of this study is to analyze the market contagion in U.S., U.K. and Australian securitized real estate markets. First, a national analysis is realized in order to evaluate the impact of the broader domestic stock market on the real estate stock market. Second, the linkages between the world market and selected domestic real estate stock markets are studied (both with unhedged and hedged currency risk strategies). We examine the volatility transmissions and the conditional correlations using an asymmetric BEKK specification of the variance as well as the tail dependences from the symmetrized Joe-Clayton copula. We also investigate whether real estate security markets react asymmetrically to the sign of the shocks. Our results suggest a general tendency of market contagion (except for the case of the U.S. in the international analyses) as well as of asymmetry in the series. Evidence of higher connections in periods of crisis is also established.

Suggested Citation

  • Martin HOESLI & Kustrim REKA, 2010. "Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns," Swiss Finance Institute Research Paper Series 10-40, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1040
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    Cited by:

    1. Eva Steiner & Jamie Alcock, 2011. "New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts," ERES eres2011_161, European Real Estate Society (ERES).

    More about this item

    Keywords

    Real Estate Securities; Volatility; Market Contagion; Asymmetric BEKK Model; Time-Varying Correlations; Copula; Tail Dependence; Stocks;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • 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

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