Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach
Elie Bouri (),
Rangan Gupta and
Shixuan Wang ()
No 201917, Working Papers from University of Pretoria, Department of Economics
In this paper, we analyze contagion over the daily period of January 1, 1998 to September 13, 2018 between Real Estate Investments Trusts (REITs) and the equity markets of nineteen countries, which are at their different stages of development in terms of the REITs market. For our purpose, we use the local Gaussian correlation approach during the dot-com, global financial, European sovereign debt crises, and the more recent period involving the Brexit in the UK. In general, we find strong evidence of contagion between equities and REITs of not only matured and established markets, but also in economies with an emerging REITs sector, especially during the global financial and sovereign debt crises. Further, when we considered contagion across REITs of the US and the other countries, and between US REITs and equities of the remaining eighteen countries, a similar pattern emerges. Our results have important implications for investors and policymakers alike.
Keywords: REITs; Equities; Financial crises; Contagion; Local Gaussian correlation (search for similar items in EconPapers)
JEL-codes: C22 G10 G15 R31 (search for similar items in EconPapers)
Pages: 35 pages
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201917
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