Spatial Linkages in Listed Property Returns in Tranquil and Distressed Periods

Bing Zhu and Stanimira Milcheva

Journal of Real Estate Portfolio Management, 2016, vol. 22, issue 2, 129-146

Abstract: Executive Summary. In this study, we use a dynamic spatial panel model to assess the degree of cross-country co-movement of the returns of listed property companies caused by economic, financial, and geographic closeness. We find that the asset-side exposure of banks best captures the comovements in returns and presents a channel of credit risk transmission across countries. During the Global Financial Crisis, asset-side bank exposure and foreign direct investment linkages contribute to a significant increase in the comovement of the returns of listed property companies through which liquidity and credit risk shocks may have been transmitted to asset prices internationally.

Date: 2016
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DOI: 10.1080/10835547.2016.12089987

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