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Contagion Channels between Real Estate and Financial Markets

Published in Real Estate Economics. 2015, vol. 43, no. 1, p. 101-138
Abstract The recent crisis has demonstrated the linkages between asset classes within a country as well as the association between assets internationally. We provide for a better understanding of some of these linkages by conducting an empirical investigation of the channels underlying the risk of contagion between real estate investment trusts (REITs) and stocks in the United States. We test for three financial mechanisms potentially driving contagion. A behavioral dimension in the crisis propagation is also examined by considering investor sentiment and panic risk. We find that contagion prevails between REITs and stocks and that this phenomenon is driven by behavioral and liquidity mechanisms.
Keywords ContagionREITs
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Research group Geneva Finance Research Institute (GFRI)
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HOESLI, Martin E., REKA, Kustrim. Contagion Channels between Real Estate and Financial Markets. In: Real Estate Economics, 2015, vol. 43, n° 1, p. 101-138. doi: 10.1111/1540-6229.12070 https://archive-ouverte.unige.ch/unige:78391

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Deposited on : 2015-12-08

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