Contagion Channels between Real Estate and Financial Markets

Martin Hoesli, Kustrim Reka

Research output: Contribution to journalArticlepeer-review

36 Citations (Scopus)

Abstract

The recent crisis has demonstrated the linkages between asset classes within a country as well as the association between assets internationally. We provide for a better understanding of some of these linkages by conducting an empirical investigation of the channels underlying the risk of contagion between real estate investment trusts (REITs) and stocks in the United States. We test for three financial mechanisms potentially driving contagion. A behavioral dimension in the crisis propagation is also examined by considering investor sentiment and panic risk. We find that contagion prevails between REITs and stocks and that this phenomenon is driven by behavioral and liquidity mechanisms.

Original languageEnglish
Pages (from-to)101-138
Number of pages38
JournalReal Estate Economics
Volume43
Issue number1
Early online date16 Feb 2015
DOIs
Publication statusPublished - 1 Mar 2015

Bibliographical note

We thank Shaun Bond, Brad Case (the special issue editor), Anjeza Kadilli, Jongsub Lee, David Ling, William Maher, Andy Naranjo, David Watkins, an anonymous referee and seminar participants at the 2013 Annual Research Symposium of the Real Estate Research Institute (RERI), the 2013 AREUEA-ASSA Annual Conference and the University of Florida for their valuable comments and suggestions. Financial support by RERI is gratefully acknowledged.

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