Abstract

http://ssrn.com/abstract=1858726
 
 

References (35)



 


 



Commercial Real Estate and Equity Market Bubbles: Are they Contagious to REITs?


Ogonna Nneji


University of Reading - ICMA Centre

Chris Brooks


University of Reading - ICMA Centre

Charles W.R. Ward


University of Reading

Septmeber 2012

Urban Studies, Forthcoming

Abstract:     
This paper uses a regime switching approach to determine whether prices in the stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. We then develop and implement a multivariate bubble model to evaluate whether the stock and real estate bubbles spill over into REITs. We find the underlying stock market bubble to be a stronger influence on the securitized real estate market bubble than that of the property market. Furthermore, our findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.

Number of Pages in PDF File: 31

Keywords: periodically collapsing speculative bubbles, spillovers, contagion, REITs, real estate

JEL Classification: G12, R15, R51

working papers series


Download This Paper

Date posted: June 6, 2011 ; Last revised: March 13, 2013

Suggested Citation

Nneji, Ogonna and Brooks, Chris and Ward , Charles W.R., Commercial Real Estate and Equity Market Bubbles: Are they Contagious to REITs? (Septmeber 2012). Urban Studies, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1858726 or http://dx.doi.org/10.2139/ssrn.1858726

Contact Information

Ogonna Nneji
University of Reading - ICMA Centre ( email )
Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
Chris Brooks (Contact Author)
University of Reading - ICMA Centre ( email )
Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
+44 118 931 82 39 (Phone)
+44 118 931 47 41 (Fax)
Charles W.R. Ward
University of Reading ( email )
ICMA Centre,
Henley Business School
Reading, RG6 6AB
United Kingdom
T: +44 (0)118 378 8239 (Phone)
HOME PAGE: http://www.icmacentre.ac.uk/about_us/academic_staff/professor_charles_ward,
Feedback to SSRN


Paper statistics
Abstract Views: 939
Downloads: 185
Download Rank: 90,849
References:  35

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.625 seconds