A truly global crisis? Evidence from contagion dependence across international REIT markets

MeiChi Huang, Chu-Hua Wu and I-Shan Cheng

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: This study examines the global nature of the recent crisis under bivariate Markov-switching models for pre- and post-crisis periods using the breakpoint of August 9, 2007. It quantifies international synchronization of boom-bust regime switches to investigate contagion-type dynamic comovements of Real Estate Investment Trusts (REITs). Global REIT markets display persistent bust regimes from September 2008 to May 2009, whereas the regime-switching patterns are not significant in the pre-crisis period. The results provide new evidence for global REIT contagion phenomena and suggest greater difficulties in diversifying risks across global REIT markets during the post-crisis period.

Keywords: Contagion; Bivariate Markov-switching model; Real Estate Investment Trusts (REITs); Bust regime; Subprime crisis (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000942

DOI: 10.1016/j.najef.2021.101473

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