On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

Faculty Commerce Year: 2018
Type of Publication: ZU Hosted Pages:
Authors:
Ahmed Hamed Attia Ahmed Elsayed
Journal: Finance Research Letters Elsevier Volume:
Keywords : , , transmission , spillover risks between , housing market,    
Abstract:
Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (
    
     
 
       

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