Contagion Channels between Real Estate and Financial Markets

Martin Hoesli, Kustrim Reka

Research output: Contribution to journalArticle

16 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)101-138
Number of pages38
JournalReal Estate Economics
Volume43
Issue number1
Early online date16 Feb 2015
DOIs
Publication statusPublished - 1 Mar 2015

Fingerprint Dive into the research topics of 'Contagion Channels between Real Estate and Financial Markets'. Together they form a unique fingerprint.

  • Cite this