Please use this identifier to cite or link to this item: https://doi.org/10.3846/1648715X.2014.974724
Title: Contagion and downside risk in the reit market during the subprime mortgage crisis
Authors: Chen, M.-C
Tsai, H.-J
Sing, T.-F 
Yang, C.-Y
Issue Date: 2015
Citation: Chen, M.-C, Tsai, H.-J, Sing, T.-F, Yang, C.-Y (2015). Contagion and downside risk in the reit market during the subprime mortgage crisis. International Journal of Strategic Property Management 19 (1) : 42-57. ScholarBank@NUS Repository. https://doi.org/10.3846/1648715X.2014.974724
Rights: Attribution 4.0 International
Abstract: This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United States, the European Union, Japan, Hong Kong, Singapore, Australia, and the global REIT market. We found a significant and positive dynamic conditional correlation (DCC) coefficient between stock returns and REIT returns. The results revealed that the REIT markets responded early to market shocks and that the variances were higher in the post-crisis period than in the pre-crisis period. Evidence supporting the contagion effects includes increases in the means of the DCC coefficients during the post-crisis period. The Japanese and Australian REIT markets possess the lowest time-varying downside systematic risks. We also demonstrated that the “DCC E-beta” captures more significant downside linkages between market portfolios and expected REIT returns than does the standard CAPM beta. © 2015 Vilnius Gediminas Technical University (VGTU) Press.
Source Title: International Journal of Strategic Property Management
URI: https://scholarbank.nus.edu.sg/handle/10635/181466
ISSN: 1648715X
DOI: 10.3846/1648715X.2014.974724
Rights: Attribution 4.0 International
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