Mots-clés
Bourse ; Bulle spéculative ; Coût de transaction ; Economie urbaine ; Etats-Unis ; Finance ; Marché des actions ; Marché immobilier ; Marché immobilier commercial ; Promotion immobilière ; Spéculation immobilièreEquity market ; Finance ; Real estate development ; Real estate market ; Real estate speculation ; Stock market ; Transaction cost ; United States of America ; Urban economyCosto de transacción ; Economía urbana ; Especulación inmobiliaria ; Estados Unidos ; Finanza ; Mercado inmobiliario ; Promoción inmobiliariaCommercial real estate and equity market bubbles : are they contagious to REITs?
Auteur(s) et Affiliation(s)
NNEJI, O.
ICMA Centre, Univ., Reading, Royaume-Uni
BROOKS, C.
ICMA Centre, Univ., Reading, Royaume-Uni
WARD, C.
ICMA Centre, Univ., Reading, Royaume-Uni
Description :
This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock andreal estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.
Type de document :
Article de périodique
Source :
Urban studies (Harlow), issn : 0042-0980, 2013, vol. 50, n°. 12, p. 2496-2516, nombre de pages : 21, Références bibliographiques : 3 p.
Date :
2013
Editeur :
Pays édition : Royaume-Uni, Harlow, Longman Group
Langue :
Anglais
Anglais
Droits :
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Tous droits réservés © Prodig - Bibliographie Géographique Internationale (BGI)