Zhu, B;
Milcheva, S;
(2016)
Spatial linkages in listed property returns in tranquil and distressed periods.
Journal of Real Estate Portfolio Management
, 22
(2)
pp. 129-146.
10.5555/1083-5547-22.2.129.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Spatial linkages in listed property returns in tranquil and distressed periods |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.5555/1083-5547-22.2.129 |
| Publisher version: | http://aresjournals.org/doi/abs/10.5555/1083-5547-... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Listed property company returns, International bank flows, Dynamic spatial panel model, Financial and geographic integration |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10046335 |
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