Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 1415 - 1426 |
| Number of pages | 12 |
| Journal | Journal of Banking and Finance |
| Volume | 35 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2011 |
Cite this
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Asset market linkages: Evidence from financial, commodity and real estate assets. / Chan, Kam; Treepongkaruna, Sirimon; Brooks, Robert; Gray, Stephen.
In: Journal of Banking and Finance, Vol. 35, No. 6, 2011, p. 1415 - 1426.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Asset market linkages: Evidence from financial, commodity and real estate assets
AU - Chan, Kam
AU - Treepongkaruna, Sirimon
AU - Brooks, Robert
AU - Gray, Stephen
PY - 2011
Y1 - 2011
N2 - We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (US stocks and Treasury bonds), commodities (oil and gold) and real estate assets (US Case-Shiller index). We confirm the existence of two distinct regimes: a tranquil regime with periods of economic expansion and a crisis regime with periods of economic decline. The tranquil regime is characterized by lower volatility and significantly positive stock returns. During these periods, there is also evidence of a flight from quality - from gold to stocks. By contrast, the crisis regime is characterized by higher volatility and sharply negative stock returns, along with evidence of contagion between stocks, oil and real estate. Furthermore, during these periods, there is strong evidence of a flight to quality - from stocks to Treasury bonds.
AB - We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (US stocks and Treasury bonds), commodities (oil and gold) and real estate assets (US Case-Shiller index). We confirm the existence of two distinct regimes: a tranquil regime with periods of economic expansion and a crisis regime with periods of economic decline. The tranquil regime is characterized by lower volatility and significantly positive stock returns. During these periods, there is also evidence of a flight from quality - from gold to stocks. By contrast, the crisis regime is characterized by higher volatility and sharply negative stock returns, along with evidence of contagion between stocks, oil and real estate. Furthermore, during these periods, there is strong evidence of a flight to quality - from stocks to Treasury bonds.
U2 - 10.1016/j.jbankfin.2010.10.022
DO - 10.1016/j.jbankfin.2010.10.022
M3 - Article
VL - 35
SP - 1415
EP - 1426
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
IS - 6
ER -