Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns

Martin Hoesli and Kustrim Reka
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Kustrim Reka: University of Geneva (HEC)

No 10-40, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The aim of this study is to analyze the market contagion in U.S., U.K. and Australian securitized real estate markets. First, a national analysis is realized in order to evaluate the impact of the broader domestic stock market on the real estate stock market. Second, the linkages between the world market and selected domestic real estate stock markets are studied (both with unhedged and hedged currency risk strategies). We examine the volatility transmissions and the conditional correlations using an asymmetric BEKK specification of the variance as well as the tail dependences from the symmetrized Joe-Clayton copula. We also investigate whether real estate security markets react asymmetrically to the sign of the shocks. Our results suggest a general tendency of market contagion (except for the case of the U.S. in the international analyses) as well as of asymmetry in the series. Evidence of higher connections in periods of crisis is also established.

Keywords: Real Estate Securities; Volatility; Market Contagion; Asymmetric BEKK Model; Time-Varying Correlations; Copula; Tail Dependence; Stocks (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2010-09
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1040

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