Transmission of shocks across global real estate and equity markets: An examination of the 2007–2008 housing crisis

Yunus, Nafeesa

doi:10.1080/00036846.2018.1430343

Cited by 9 publications

(7 citation statements)

References 71 publications

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“…6. The break date used in our study is consistent with those chosen by other researchers studying the GFC (Baur, 2012; Cassola and Morana, 2012; Yunus, 2018). The test was reconducted using alternative nearby dates, but the results remained the same.…”

Section: Notessupporting

confidence: 70%

“…Our study falls under a strand of research studying long-run convergence using cointegration techniques. This study incorporated research exploring provincial-level integration (Chaudhry et al , 1999; Worthington and Higgs, 2003; Allen et al , 2009; Yunus and Swanson, 2013) and the impact of the GFC on integration (Yunus and Swanson, 2013; Yunus, 2018), accounting for structural breaks using a cointegration technique (Wilson and Zurbruegg, 2002; Yang et al , 2005; Gerlach et al , 2006).…”

Section: Literature Reviewmentioning

confidence: 99%

“…This issue has gained much attention in real estate research because of its importance across countries (Gupta and Miller, 2012; Yunus and Swanson, 2013; Stevenson, 2004; Barros et al , 2014; Apergis and Payne, 2012; Miles, 2020; Zhang et al , 2021; Lo Cascio, 2021). Research has shown that post-GFC cointegration among regional housing prices is increasing, leading to diminishing diversification benefits (Yunus and Swanson, 2013; Kallberg et al , 2014; Miles, 2015; Yunus, 2018). Studies on interprovincial housing market integration in Canada are scarce; to our knowledge, Allen et al (2009) is the only one to examine this topic.…”

Section: Introductionmentioning

confidence: 99%

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Long-run drivers and integration in interprovincial Canadian housing price relations

Vishwakarma

2021

IJHMA

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Purpose This paper aims to examine the integration of housing markets in Canada by examining housing price data (1999–2016) of six metropolitan areas in different provinces, namely, Calgary, Vancouver, Winnipeg, Toronto, Montreal and Halifax. The authors test for cointegration, driver cities of long-run relationships, long-run Granger causality and instantaneous causality in light of the global financial crisis (GFC) (2007–2008). Design/methodology/approach The authors use Johansen’s system cointegration approach with structural breaks. Moving average representation is used for common stochastic trend(s) analysis. Finally, the authors apply vector error correction model-based Granger causality and instantaneous causality. Findings Cities’ housing prices are in long-run equilibrium. Post-crisis Canadian housing markets became more integrated. The Calgary, Vancouver, Toronto and Montreal markets drive the Canadian housing market, leading all cities toward long-run equilibrium. Strong long-run Granger causality exists, but the authors observe no instantaneous causality. Price information takes time to disseminate, and long-run price adjustments play a significant role in causation. Practical implications The findings of cointegration increasing after the GFC and strong lead–lag can be used by investors to arbitrage and optimize portfolios. This can also help national and local policymakers in mitigating risk. Incorporating these findings can lead to better price forecasting. Originality/value This study presents many novelties for the Canadian housing market: it is the first to use repeat-sales regional pricing indices to test long-run behaviors, conduct common stochastic trend analyzes and present causality relations.

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Section: Notessupporting

confidence: 70%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Long-run drivers and integration in interprovincial Canadian housing price relations

Vishwakarma

2021

IJHMA

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“…Moreover, the concept of cointegration allows for even large temporary deviations from a long-run equilibrium relation, and cointegration of return indexes would indicate that the return correlation approaches one as the assumed investment horizon is extended. Cointegration analysis has been previously used to investigate the long-term relationship between the stock market and listed or direct real estate, or among real estate markets, as well (Lin and Fuerst 2014;Yunus 2018).…”

Section: Methodsmentioning

confidence: 99%

Does listed real estate behave like direct real estate? Updated and broader evidence

Hoesli

Oikarinen

2021

Applied Economics

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This study investigates a question relevant to many investors: do the broad Real Estate Investment Trust (REIT) return characteristics reflect those of the broad direct real estate markets. The paper makes several contributions to the literature in addition to using more recent data: (1) we use data for six countries (Australia, France, Germany, Netherlands, the U.K., and the U.S.); (2) we estimate both country-specific and panel models to increase the reliability and generalizability of the analysis; (3) we estimate a structural vector autoregressive model to be able to better and more reliably interpret the various shocks in the system; and (4) we investigate the effects of global liquidity shocks, among other shocks. Our results indicate that over the mid to long horizon, broad REIT and direct returns have similar characteristics and are highly correlated at the panel level. Also, the two types of exposure to real estate exhibit similar reactions to economic shocks. Thus, the paper makes a case that investors do not necessarily need to worry much about compositional effects when aiming to track broad international direct market performance by investing in listed real estate.

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“…Several studies have analyzed US economic and financial linkages with other countries during the GFC period. Some studies analyze the impact of US monetary policy decisions on various financial markets (Chen, Filardo, He & Zhu, 2016;Georgiadis, 2016;Yan, Phylaktis & Fuertes, 2016;Lien, Lee, Yang & Zhang, 2018;Yunus, 2018;Kang, Kim & Suh, 2019); effects of oil prices on the US stock markets (Fang, Chen & Xiong, 2018;Basher, Haug & Sadorsky, 2018) and the relationship among the US stock markets and European stock markets (Panda & Nanda, 2017;Golab, Jie, Powell & Zamojska, 2018).…”

Section: Recent Related Literaturementioning

confidence: 99%

International Financial US Linkages: Networks Theory and MS-VAR Analyses

Sosa

Ortíz

Cabello

2019

REMEF

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This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclude that US financial markets keep a close financial relationship with the most important European and American countries’ stock markets, both by receiving and delivering FPI, and in addition influencing the behavior of stock indexes.

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Transmission of shocks across global real estate and equity markets: An examination of the 2007–2008 housing crisis

Cited by 9 publications

References 71 publications

Long-run drivers and integration in interprovincial Canadian housing price relations

Long-run drivers and integration in interprovincial Canadian housing price relations

Does listed real estate behave like direct real estate? Updated and broader evidence

International Financial US Linkages: Networks Theory and MS-VAR Analyses

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