IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v20y2014i1p1-20.html

Some searches may not work properly. We apologize for the inconvenience.

   My bibliography  Save this article

Did the Recent Financial Crisis Impact Integration between the Real Estate and Stock Markets?

Author

Listed:
  • Kimberly Luchtenberg
  • Michael Seiler

Abstract

We examine linkages between the real estate market and the stock market before and after the delisting of Lehman Brothers to determine if the recent financial crisis had an effect on the degree of integration between them. Using Granger causality tests, vector autoregression (VAR) models, and state space models, we find that real estate returns subsequently influence stock market returns, a unique result when compared to past financial crises, but consistent with recent findings of increased systematic risk in real estate investment trusts (REITs). We also find that some estimated transaction-based geographic/property type indices were less integrated with the stock market, which indicates that pure property indices may provide better portfolio diversification in the event of a real estate-related stock market downturn. These tests were made possible through the employment of a new daily transaction-based commercial real estate return series.

Suggested Citation

  • Kimberly Luchtenberg & Michael Seiler, 2014. "Did the Recent Financial Crisis Impact Integration between the Real Estate and Stock Markets?," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 20(1), pages 1-20, January.
    • Handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:1-20
    DOI: 10.1080/10835547.2014.12089960
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2014.12089960
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2014.12089960?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:20:y:2014:i:1:p:1-20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.