 Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation ApproachElie Bouri (), Rangan Gupta and Shixuan Wang No 201917, Working Papers from University of Pretoria, Department of Economics Abstract: In this paper, we analyze contagion over the daily period of January 1, 1998 to September 13, 2018 between Real Estate Investments Trusts (REITs) and the equity markets of nineteen countries, which are at their different stages of development in terms of the REITs market. For our purpose, we use the local Gaussian correlation approach during the dot-com, global financial, European sovereign debt crises, and the more recent period involving the Brexit in the UK. In general, we find strong evidence of contagion between equities and REITs of not only matured and established markets, but also in economies with an emerging REITs sector, especially during the global financial and sovereign debt crises. Further, when we considered contagion across REITs of the US and the other countries, and between US REITs and equities of the remaining eighteen countries, a similar pattern emerges. Our results have important implications for investors and policymakers alike. Keywords: REITs; Equities; Financial crises; Contagion; Local Gaussian correlation (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201917 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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