Purpose: This paper aims to investigate volatility causality and return contagion on nine international securitized real estate markets by appealing to Markov-switching (MS) regime approach, from July 1992 to June 2014. Design/methodology/approach: An MS causality interaction model (Psaradakis...

Purpose: With growing interdependence between financial markets, the goal of this paper is to examine the dynamic interdependence between corporate equity and public real estate markets for the USA and a select group of seven European developed economies under a cross-country framework in...

Purpose This research aims to investigate whether and to what extent the co-movements of cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles are linked across G7 from February 1990 to June 2014. Design/methodology/approach The empirical...

Purpose – The purpose of this paper is to investigate the time series behavior of co‐movements among 11 European real estate securities markets, with each other as well as between country‐averages, over the sample period from January 1999 to January 2010 by utilizing the asymmetric dynamic...

Purpose – This paper aims to investigate the interdependence of daily conditional volatility in seven FTSE‐NAREIT‐EPRA European developed real estate securities markets – the United Kingdom, France, Germany, The Netherlands, Italy, Sweden and Switzerland, from January 1990 to December...