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

International Journal of Strategic Property Management

Hsiu-Jung Tsai¹  Ming-Chi Chen²  Chih-Yuan Yang³  Tien-Foo Sing⁴ 

[1] Department of Finance, National Kaohsiung First University of Science and Technology, 15F., No. 249, Guanghua 3rd Rd., Qianzhen Dist., Kaohsiung City 806, Taiwan;Department of Finance, National Sun Yat-sen University, Taiwan;Department of Finance, Tainan University of Technology, Taiwan;Department of Real Estate, National University of Singapore, Singapore;

关键词: Contagion effect;    Systematic risk;    Downside risk;    Time-varying beta;    Dynamic conditional correlation (DCC) model;   

DOI  :  10.3846/1648715X.2014.974724

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown