(Article of periodic en Anglais - 2013)

Document title

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

Authors(s) and Affiliation(s)

NNEJI O. (1) ; BROOKS C. (1) ; WARD C. (1) ;
(1) ICMA Centre, Univ., Reading, ROYAUME-UNI


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 andreal 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


Article of periodic

published at : Urban studies / ISSN 0042-0980

Editor : Longman Group, Harlow - ROYAUME-UNI (1964)

Millesime : 2013, vol. 50, no12 [pp. 2496-2516]

Bibliographic references : 3 p.

Collation : 3 fig., 3 tabl



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