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,...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2015-04-01
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| Series: | International Journal of Strategic Property Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/IJSPM/article/view/2108 |
| _version_ | 1818872759136026624 |
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| author | Ming-Chi Chen Hsiu-Jung Tsai Tien-Foo Sing Chih-Yuan Yang |
| author_facet | Ming-Chi Chen Hsiu-Jung Tsai Tien-Foo Sing Chih-Yuan Yang |
| author_sort | Ming-Chi Chen |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-19T12:43:55Z |
| format | Article |
| id | doaj.art-aad51b4012f04ab5b1ac348323e5b4fa |
| institution | Directory Open Access Journal |
| issn | 1648-715X 1648-9179 |
| language | English |
| last_indexed | 2024-12-19T12:43:55Z |
| publishDate | 2015-04-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | International Journal of Strategic Property Management |
| spelling | doaj.art-aad51b4012f04ab5b1ac348323e5b4fa2022-12-21T20:20:52ZengVilnius Gediminas Technical UniversityInternational Journal of Strategic Property Management1648-715X1648-91792015-04-0119110.3846/1648715X.2014.974724Contagion and downside risk in the REIT market during the subprime mortgage crisisMing-Chi Chen0Hsiu-Jung Tsai1Tien-Foo Sing2Chih-Yuan Yang3Department of Finance, National Sun Yat-sen University, TaiwanDepartment of Finance, National Kaohsiung First University of Science and Technology, 15F., No. 249, Guanghua 3rd Rd., Qianzhen Dist., Kaohsiung City 806, TaiwanDepartment of Real Estate, National University of Singapore, SingaporeDepartment of Finance, Tainan University of Technology, TaiwanThis 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.https://journals.vgtu.lt/index.php/IJSPM/article/view/2108Contagion effectSystematic riskDownside riskTime-varying betaDynamic conditional correlation (DCC) model |
| spellingShingle | Ming-Chi Chen Hsiu-Jung Tsai Tien-Foo Sing Chih-Yuan Yang Contagion and downside risk in the REIT market during the subprime mortgage crisis International Journal of Strategic Property Management Contagion effect Systematic risk Downside risk Time-varying beta Dynamic conditional correlation (DCC) model |
| title | Contagion and downside risk in the REIT market during the subprime mortgage crisis |
| title_full | Contagion and downside risk in the REIT market during the subprime mortgage crisis |
| title_fullStr | Contagion and downside risk in the REIT market during the subprime mortgage crisis |
| title_full_unstemmed | Contagion and downside risk in the REIT market during the subprime mortgage crisis |
| title_short | Contagion and downside risk in the REIT market during the subprime mortgage crisis |
| title_sort | contagion and downside risk in the reit market during the subprime mortgage crisis |
| topic | Contagion effect Systematic risk Downside risk Time-varying beta Dynamic conditional correlation (DCC) model |
| url | https://journals.vgtu.lt/index.php/IJSPM/article/view/2108 |
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