Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Linkages between cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles: evidence from G7

Linkages between cross-country business cycles, cross-country stock market cycles and... PurposeThis research investigates 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/approachThe empirical approaches include: correlation analysis on HP cycles, HP cycle return spillovers effects using Diebold and Yilmaz (2012)'s spillover index methodology, as well as Croux et al (2001)'s dynamic correlation and cohesion methodology. FindingsThere are fairly strong cycle-return spillover effects between the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles. The interactions among the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles in G7 are less positively pronounced or exhibit counter-cyclical behavior at the traditional business cycle (medium-term) frequency band when “pure” stock market cycles are consideredResearch limitations/implicationsOur research is subject to the usual limitations concerning empirical researchPractical implicationsThis study finds that real estate is an important factor in influencing the degree and behavior of the relationship between cross-country business cycles and cross-country stock market cycles in G7. It provides important empirical insights for portfolio investors to understand and forecast the differential benefits and pitfalls of portfolio diversification in the long-, medium- and short cycle horizons, as well as for research studying the linkages between the real economy and financial sectors.Originality/valueIn adding to the existing body of knowledge concerning economic globalization and financial market interdependence, this study evaluates the linkages between business cycles, stock market cycles and public real estate market cycles cross G7, and adds to the academic real estate literature. Since public real estate market is a subset of stock market, our approach is to use an original stock market index, as well as a “pure” stock market index (with the influence of real estate market removed) to offer additional empirical insights from two key complementary perspectives. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of European Real Estate Research Emerald Publishing

Linkages between cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles: evidence from G7

Download PDF
29 pages

Loading next page...
 
/lp/emerald-publishing/linkages-between-cross-country-business-cycles-cross-country-stock-VzPgnV0kCz
Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1753-9269
DOI
10.1108/JERER-05-2015-0024
Publisher site
See Article on Publisher Site

Abstract

PurposeThis research investigates 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/approachThe empirical approaches include: correlation analysis on HP cycles, HP cycle return spillovers effects using Diebold and Yilmaz (2012)'s spillover index methodology, as well as Croux et al (2001)'s dynamic correlation and cohesion methodology. FindingsThere are fairly strong cycle-return spillover effects between the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles. The interactions among the cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles in G7 are less positively pronounced or exhibit counter-cyclical behavior at the traditional business cycle (medium-term) frequency band when “pure” stock market cycles are consideredResearch limitations/implicationsOur research is subject to the usual limitations concerning empirical researchPractical implicationsThis study finds that real estate is an important factor in influencing the degree and behavior of the relationship between cross-country business cycles and cross-country stock market cycles in G7. It provides important empirical insights for portfolio investors to understand and forecast the differential benefits and pitfalls of portfolio diversification in the long-, medium- and short cycle horizons, as well as for research studying the linkages between the real economy and financial sectors.Originality/valueIn adding to the existing body of knowledge concerning economic globalization and financial market interdependence, this study evaluates the linkages between business cycles, stock market cycles and public real estate market cycles cross G7, and adds to the academic real estate literature. Since public real estate market is a subset of stock market, our approach is to use an original stock market index, as well as a “pure” stock market index (with the influence of real estate market removed) to offer additional empirical insights from two key complementary perspectives.

Journal

Journal of European Real Estate Research – Emerald Publishing

Published: Aug 1, 2016

References

  • Sectoral business cycle synchronization in the European union
  • Exchange return co-movements and volatility spillovers before and after the introduction of euro
  • International business cycles and the ERM, Is there a European business cycle?
  • Property and the economic cycle: building cycles revisited
  • Business cycles: the exchange rate regime
  • The cyclical relations between traded property stock prices and aggregate time-series
  • Are European business cycles close enough to be just one?
  • How do business and financial cycles interact?
  • A measure of co-movement for economic variables: theory and empirics
  • Institutional perspectives on real estate investing
  • Measuring financial asset return and volatility spillovers, with applications to global equity markets
  • Better to give than to receive: predictive directional measurement of volatility spillovers
  • The business cycles in the G-7 economies
  • Forecasting international equity correlations
  • China in the world economy: dynamic correlation analysis of business cycles
  • World business cycles under fixed and flexible exchanger rates
  • Why do markets move together: an investigation of US-Japan stock returns movements
  • Volatility and links between national stock markets
  • Business-cycle fluctuations and international equity correlations
  • Measuring synchronization and convergence of business cycles for the Euro areas, UK and US
  • Volatility interdependence in European real estate securities markets: who is the most influential?
  • The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages
  • Conditional volatility spillover effects across emerging financial markets
  • Interactions between property and equity markets: an investigation of linkages in the United Kingdom 1972-1992
  • Is the correlations in international equity returns constant: 1960-1990?
  • Real estate returns and the macroeconomy: empirical evidence
  • Property cycles in the UK: an empirical investigation of the stylized facts
  • Correlations, business cycles and integration