The European sovereign debt crisis: Contagion across European real estate markets

Chi Man Hui, Ka Kwan Kevin Chan

Research output: Journal article publicationJournal articleAcademic researchpeer-review

16 Citations (Scopus)


This paper aims to investigate the contagion across European securitised real estate markets during the European sovereign debt crisis by the Forbes-Rigobon test, the coskewness test and the cokurtosis test. The new cokurtosis test is constructed by extending the method of constructing the coskewness test to further higher order moments. The results reveal that the cokurtosis test can show additional channels of contagion of which the other tests fail to show, and hence can provide more information on the direction of contagion, and reflect a more complete picture of the contagion pattern. This study has implications to investors and policy-makers. During a crisis, investors should reallocate their portfolio to reduce their loss. Policy-makers should cooperate with other authorities and act accordingly in order to stabilise the economy.
Original languageEnglish
Pages (from-to)87-102
Number of pages16
JournalJournal of Property Research
Issue number2
Publication statusPublished - 1 Jun 2013


  • cokurtosis
  • contagion
  • coskewness
  • European sovereign debt crisis
  • real estate

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Urban Studies


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