Financial crisis and the real estate market in Greece: the impact on bank stock prices

Nicholas Apergis ()

International Journal of Economics and Business Research, 2012, vol. 4, issue 5, 530-539

Abstract: This study investigates the relationship between the stock mean returns of banking institutions and the returns of real estate investment trusts (REITs) as well as of their volatility between them for the Greek banking system using the methodology of general autoregressive conditional heteroskedasticity models. The REITs are used as a proxy for the performance of the real estate loan sector, whereas the volatility relationship allows for the investigation of the direction of risk between different types of assets. The results show that the returns of REITs affect the stock returns of banking institutions involved in the real estate market. The impact is more intense after the recent international financial crisis outbreak.

Keywords: stock returns; investment returns; Greece; banks; banking; GARCH; general autoregressive conditional heteroskedastic; financial crises; bank stock; stock prices; mean returns; REITs; real estate; investment trusts; loan sector; volatility relationships; risk; asset types; international crises; economics; business research. (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:4:y:2012:i:5:p:530-539

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