The cross-over effect of irrational sentiments in housing, commercial property, and stock markets
Journal
Journal of Banking and Finance
ISSN
0378-4266
Type
journal article
Date Issued
2020-05
Author(s)
Abstract
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.
Language
English
Keywords
Commercial real estate
Housing market
Investor sentiment Predictability
Stock market
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Refereed
Yes
Publisher
Elsevier B.V.
Number
114
Pages
14
Contact Email Address
roland.fuess@unisg.ch
Eprints ID
262362
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Name
The cross-over effect of irrational sentiments in housing, commercial property, and stock markets.pdf
Size
1.01 MB
Format
Adobe PDF
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