Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets

55 Pages Posted: 30 Sep 2010 Last revised: 18 Oct 2011

See all articles by Martin Hoesli

Martin Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM); Swiss Finance Institute; University of Aberdeen - Business School

Reka Kustrim

University of Geneva

Date Written: March 28, 2011

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.

Keywords: volatility Spillovers, Financial Contagion, Asymmetric BEKK Model, Copulas, Structural Breaks, Real Estate Securities

JEL Classification: G11, G15, C32

Suggested Citation

Hoesli, Martin Edward Ralph and Kustrim, Reka, Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (March 28, 2011). Swiss Finance Institute Research Paper No. 10-40, Available at SSRN: https://ssrn.com/abstract=1675040 or http://dx.doi.org/10.2139/ssrn.1675040

Martin Edward Ralph Hoesli (Contact Author)

University of Geneva - Geneva School of Economics and Management (GSEM) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Reka Kustrim

University of Geneva ( email )

102 Bd Carl-Vogt
Genève, CH - 1205
Switzerland

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
268
Abstract Views
2,104
rank
125,069
PlumX Metrics