The global financial crisis: Is there any contagion between real estate and equity markets?

Eddie Chi-man Hui and Ka Kwan Kevin Chan

Physica A: Statistical Mechanics and its Applications, 2014, vol. 405, issue C, 216-225

Abstract: This study examines contagion across equity and securitized real estate markets of Hong Kong, US and UK during the global financial crisis by the Forbes–Rigobon, coskewness and cokurtosis tests. In particular, this is the first study to use the cokurtosis test to examine contagion between real estate and equity markets. The results show that the cokurtosis test can detect additional channels of contagion, and hence is a more powerful test. In contrary to Fry et al. (2010), we find that the cokurtosis test shows a highly significant evidence of contagion between the equity and real estate markets in both directions. In particular, the contagion between US’s equity and real estate markets is the most significant. This reflects that US is the centre of shock of the global financial crisis.

Keywords: Contagion; Coskewness; Cokurtosis; Real estate; Financial crisis (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:405:y:2014:i:c:p:216-225

DOI: 10.1016/j.physa.2014.03.008

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