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Spatial Linkages in Listed Property Returns in Tranquil and Distressed Periods

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  • Bing Zhu
  • Stanimira Milcheva

Abstract

Executive 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.

Suggested Citation

  • Bing Zhu & Stanimira Milcheva, 2016. "Spatial Linkages in Listed Property Returns in Tranquil and Distressed Periods," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 22(2), pages 129-146, January.
    • Handle: RePEc:taf:repmxx:v:22:y:2016:i:2:p:129-146
    DOI: 10.1080/10835547.2016.12089987
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