Commercial real estate and equity market bubbles: are they contagious to REITs?

Nneji, O., Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Ward, C. (2013) Commercial real estate and equity market bubbles: are they contagious to REITs? Urban Studies, 50 (12). pp. 2496-2516. ISSN 1360-063X doi: 10.1177/0042098013477700

Abstract/Summary

This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock and real estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.

Item Type	Article
URI	https://centaur.reading.ac.uk/id/eprint/31494
Identification Number/DOI	10.1177/0042098013477700
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Sage
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