The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Das, Prashant (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland ; ndian Institute of Management, Ahmedabad, India) ; Füss, Roland (University of St.Gallen, Switzerland ; Centre for European Economic Research (ZEW), Mannheim, Germany) ; Hanle, Benjamin (Centre for European Economic Research (ZEW), Mannheim, Germany) ; Russ, Isabel Nina (Centre for European Economic Research (ZEW), Mannheim, Germany)

This paper examines the dependence in irrational sentiments across housing, commercial property, and stock markets. Our empirical results document an important and lasting impact that commercial real estate sentiment and returns have on broader financial markets. We also show that the cross-over effects of market sentiments are not consistent with cross-over effects in market returns. Sentiments and returns in housing and stock markets exhibit strong dependence on other markets, whereas they evolve independently in commercial real estate. While housing and stock market returns respond to irrational sentiment in commercial real estate markets, the opposite is not true.


Keywords:
Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Institute:
Aucun institut
Subject(s):
Economie/gestion
Date:
2020-05
Pagination:
14 p.
Published in:
Journal of banking and finance
Numeration (vol. no.):
2020, vol 114, article no 105799, pp. 1-14
DOI:
ISSN:
0378-4266
Appears in Collection:

Note: The file is under embargo until: 2023-05-01


 Record created 2020-07-31, last modified 2020-10-27

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