Contagion and downside risk in the REIT market during the subprime mortgage crisis

Contagion and downside risk in the REIT market during the subprime mortgage crisis

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,...

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Bibliographic Details
Main Authors: Ming-Chi Chen, Hsiu-Jung Tsai, Tien-Foo Sing, Chih-Yuan Yang
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2015-04-01
Series:International Journal of Strategic Property Management
Subjects:
Contagion effect
Systematic risk
Downside risk
Time-varying beta
Dynamic conditional correlation (DCC) model
Online Access:https://journals.vgtu.lt/index.php/IJSPM/article/view/2108

Internet

https://journals.vgtu.lt/index.php/IJSPM/article/view/2108

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