||Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets
||Hoesli, Martin; Reka, Kustrim
||This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate markets and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK specification of their covariance matrix. Second, correlations from that model and tail dependences estimated using a timevarying copula framework are analyzed in order to assess whether different dynamics underlie the comovements in the whole distribution and those in the tails. Third, we assess market contagion by testing for structural changes in the tail dependences. We use data for the U.S., the U.K. and Australia for the period 1990-2010 as a basis for our analyses. Spillover effects are found to be the largest in the U.S., both domestically and internationally. Further, comovements in tail distributions between markets appear to be quite important. We also document different dynamics between the conditional tail dependences and correlations. Finally, we find evidence of market contagion between the U.S. and the U.K. markets following the subprime crisis.
|Year of publication:
||Volatility Spillovers; Comovements; Financial Contagion; Asymmetric BEKK Model; Copulas; Structural Breaks; Real Estate Securities; International Markets; Stocks
Hoesli, Martin; Reka, Kustrim (2011).
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands,