Doctoral thesis

Financial contagion and liquidity in real estate markets

ContributorsReka, Kustrim
Defense date2014-11-11

This dissertation aims to study two financial economics fundamental topics, i.e. financial contagion and liquidity, in a real estate context and consists of three essays. In the first essay, different aspects of dependences in international securitized real estate markets are studied, with a particular focus on the influence of a crisis on these dependences. Then, we investigate the mechanisms underlying contagion between real estate and stock markets. Finally, we conduct an empirical investigation of the pricing and the economic sources of commonality in liquidity of real estate securities. Our findings suggest that financial contagion prevails both internationally (i.e., between different securitized real estate markets) and domestically (i.e., between real estate and stock markets). We further show that domestic contagion is explained by liquidity and behavioral factors. Finally, we find that commonality in liquidity is a priced risk factor (especially during bad market conditions) and is mainly driven by agents' correlated trading activity and investor sentiment.

Citation (ISO format)
REKA, Kustrim. Financial contagion and liquidity in real estate markets. 2014. doi: 10.13097/archive-ouverte/unige:44977
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Creation12/12/2014 3:15:00 PM
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Update time03/14/2023 10:38:58 PM
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