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Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach

Massimiliano Caporin (), Rangan Gupta () and Francesco Ravazzolo ()
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Massimiliano Caporin: University of Padova, Italy
Francesco Ravazzolo: Free University of Bolzano‐Bozen, Italy and BI Norwegian Business School

No BEMPS61, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen

Abstract: We study contagion between REITs and the equity market in the U.S. over four subsamples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile regressions with heteroskedasticity. We find that the spillovers from the REITs on to the equity market has varied over time across the four sub-samples, though similarity is observed between the first and the last sub-samples. Further, barring the extreme ends of the two markets, contagion from REITs upon the stock market went down during the global financial crisis relative to the pre-crisis period, with the spillover picking-up during the European sovereign debt crisis.

Keywords: Contagion; Real Estate Market; Stock Market; Quantile-on-Quantile Model; Bayesian Estimation (search for similar items in EconPapers)
JEL-codes: C22 G10 R30 (search for similar items in EconPapers)
Date: 2019-02
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Working Paper: Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (2019) Downloads
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