The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Prashant Das; Roland Füss; Benjamin Hanle; Isabel Nina Russ

doi:10.1016/j.jbankfin.2020.105799

Journal of Banking & Finance Vol. 114 2020

The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Prashant Das^1,2; Roland Füss^3,4,5; Benjamin Hanle^4,5; Isabel Nina Russ^4,5

¹ Indian Institute of Management Ahmedabad · ² HES-SO University of Applied Sciences and Arts Western Switzerland · ³ Centre for European Economic Research · ⁴ University of St.Gallen · ⁵ Swiss Finance Institute

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.

DOI: 10.1016/j.jbankfin.2020.105799
Volume: 114
Pages: 105799
Language: en
Sources: openalex crossref bibtex:phds-export.bib

The cross-over effect of irrational sentiments in housing, commercial property, and stock markets

Abstract

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