Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24426
Title: The European sovereign debt crisis : contagion across European real estate markets
Authors: Hui, ECM 
Chan, KKK
Keywords: Cokurtosis
Contagion
Coskewness
European sovereign debt crisis
Real estate
Issue Date: 2013
Source: Journal of property research, 2013, v. 30, no. 2, p. 87-102 How to cite?
Journal: Journal of Property Research 
Abstract: This paper aims to investigate the contagion across European securitised real estate markets during the European sovereign debt crisis by the Forbes-Rigobon test, the coskewness test and the cokurtosis test. The new cokurtosis test is constructed by extending the method of constructing the coskewness test to further higher order moments. The results reveal that the cokurtosis test can show additional channels of contagion of which the other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. This study has implications to investors and policy-makers. During a crisis, investors should reallocate their portfolio to reduce their loss. Policy-makers should cooperate with other authorities and act accordingly in order to stabilise the economy.
URI: http://hdl.handle.net/10397/24426
ISSN: 0959-9916
DOI: 10.1080/09599916.2012.724441
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