Commercial real estate and equity market bubbles: are they contagious to REITs?

Ogonna Nneji, Chris Brooks, Charles Ward

Research output: Contribution to journalArticle (Academic Journal)peer-review


This paper uses a regime-switching approach to determine whether prices in the US stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative bubbles in all three markets. A multivariate bubble model is then developed and implemented to evaluate whether the stock and real estate bubbles spill over into REITs. The underlying stock market bubble is found to be a stronger influence on the securitised real estate market bubble than that of the property market. Furthermore, the findings suggest a transmission of speculative bubbles from the direct real estate to the stock market, although this link is not present for the returns themselves.
Original languageEnglish
Pages (from-to)2496-2516
Number of pages21
JournalUrban Studies
Issue number12
Publication statusPublished - 1 Sep 2013


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