Spatial linkages in listed property returns in tranquil and distressed periods

Zhu, B. and Milcheva, S. (2016) Spatial linkages in listed property returns in tranquil and distressed periods. Journal of Real Estate Portfolio Management, 22 (2). pp. 129-146. ISSN 1083-5547 doi: 10.5555/1083-5547-22.2.129

Abstract/Summary

In this study, we use a dynamic spatial panel model to assess the degree of cross-country co-movement of the returns of listed property companies caused by economic, financial, and geographic closeness. We find that the asset-side exposure of banks best captures the comovements in returns and presents a channel of credit risk transmission across countries. During the Global Financial Crisis, asset-side bank exposure and foreign direct investment linkages contribute to a significant increase in the comovement of the returns of listed property companies through which liquidity and credit risk shocks may have been transmitted to asset prices internationally.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/70121
Identification Number/DOI	10.5555/1083-5547-22.2.129
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	American Real Estate Society
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