The European sovereign debt crisis: contagion across European real estate markets

Eddie C.M. Hui and Ka Kwan Kevin Chan

Journal of Property Research, 2013, vol. 30, issue 2, 87-102

Abstract: This paper aims to investigate the contagion across European securitised real estate markets during the European sovereign debt crisis by the Forbes--Rigobon test, the coskewness test and the cokurtosis test. The new cokurtosis test is constructed by extending the method of constructing the coskewness test to further higher order moments. The results reveal that the cokurtosis test can show additional channels of contagion of which the other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. This study has implications to investors and policy-makers. During a crisis, investors should reallocate their portfolio to reduce their loss. Policy-makers should cooperate with other authorities and act accordingly in order to stabilise the economy.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/10.1080/09599916.2012.724441 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jpropr:v:30:y:2013:i:2:p:87-102

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJPR20

DOI: 10.1080/09599916.2012.724441

Access Statistics for this article

Journal of Property Research is currently edited by Bryan MacGregor

More articles in Journal of Property Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().