Asset market linkages: Evidence from financial, commodity and real estate assets

Chan, Kam Fong, Treepongkaruna, Sirimon, Brooks, Robert and Gray, Stephen (2011) Asset market linkages: Evidence from financial, commodity and real estate assets. Journal of Banking and Finance, 35 6: 1415-1426. doi:10.1016/j.jbankfin.2010.10.022

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Author Chan, Kam Fong
Treepongkaruna, Sirimon
Brooks, Robert
Gray, Stephen
Title Asset market linkages: Evidence from financial, commodity and real estate assets
Journal name Journal of Banking and Finance   Check publisher's open access policy
ISSN 0378-4266
Publication date 2011-06
Year available 2010
Sub-type Article (original research)
DOI 10.1016/j.jbankfin.2010.10.022
Open Access Status
Volume 35
Issue 6
Start page 1415
End page 1426
Total pages 12
Place of publication Amsterdam, Netherlands
Publisher Elsevier BV, North-Holland
Collection year 2011
Language eng
Subject 150205 Investment and Risk Management
Abstract We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. 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. Copyright © 2010 Elsevier B.V. All rights reserved.
Keyword Markov switching
Asset linkages
Flight to quality
Flight from quality
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Article in press. Available online 20 October 2010.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 49 times in Thomson Reuters Web of Science Article | Citations
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Created: Thu, 28 Oct 2010, 14:38:34 EST by Karen Morgan on behalf of UQ Business School