The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Prashant Das, Roland Füss (), Benjamin Hanle and Isabel Nina Russ

Journal of Banking & Finance, 2020, vol. 114, issue C

Abstract: This paper examines the dependence in irrational sentiments across housing, commercial property, and stock markets. Our empirical results document an important and lasting impact that commercial real estate sentiment and returns have on broader financial markets. We also show that the cross-over effects of market sentiments are not consistent with cross-over effects in market returns. Sentiments and returns in housing and stock markets exhibit strong dependence on other markets, whereas they evolve independently in commercial real estate. While housing and stock market returns respond to irrational sentiment in commercial real estate markets, the opposite is not true.

Keywords: Commercial real estate; Housing market; Investor sentiment; Predictability; Stock market (search for similar items in EconPapers)
JEL-codes: C32 C53 G40 R30 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426620300674
Full text for ScienceDirect subscribers only

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:eee:jbfina:v:114:y:2020:i:c:s0378426620300674

DOI: 10.1016/j.jbankfin.2020.105799

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().