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Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis

Author

Listed:
  • Aljohani, Bader M.
  • Fadul, Abubaker
  • Asiri, Maram S.
  • Alkhathami, Abdulrahman D.
  • Hasan, Fakhrul

Abstract

This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices.

Suggested Citation

  • Aljohani, Bader M. & Fadul, Abubaker & Asiri, Maram S. & Alkhathami, Abdulrahman D. & Hasan, Fakhrul, 2024. "Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 70(PB).
    • Handle: RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400206x
    DOI: 10.1016/j.ribaf.2024.102413
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    More about this item

    Keywords

    Inflation; Volatility; Global financial crisis; COVID-19; US; UK;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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