Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets

Martin Hoesli and Kustrim Reka ()

The Journal of Real Estate Finance and Economics, 2013, vol. 47, issue 1, 35 pages

Abstract: This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of their covariance matrix. Second, correlations from that model and tail dependences estimated using a time-varying copula framework are analyzed to assess whether different dynamics underlie the comovements in the whole distribution and those in the tails. Third, we investigate market contagion by testing for structural changes in the tail dependences. We use data for the U.S., the U.K. and Australia for the period 1990–2010 as a basis for our analyses. Spillover effects are found to be the largest in the U.S., both domestically and internationally. Further, comovements in tail distributions between markets appear to be quite important. We also document different dynamics between the conditional tail dependences and correlations. Finally, we find evidence of market contagion between the U.S. and the U.K. markets following the subprime crisis. Copyright Springer Science+Business Media, LLC 2013

Keywords: Volatility spillovers; Financial contagion; Asymmetric BEKK model; Copulas; Structural breaks; Real estate securities; G11; G15; C32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (55)

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Working Paper: Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011)
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DOI: 10.1007/s11146-011-9346-8

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