Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis

Bader M. Aljohani; Abubaker Fadul; Maram S. Asiri; Abdulrahman D. Alkhathami; Fakhrul Hasan

doi:10.1016/j.ribaf.2024.102413

Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis

Bader M. Aljohani, Abubaker Fadul, Maram S. Asiri, Abdulrahman D. Alkhathami, Fakhrul Hasan^*

^*Corresponding author for this work

Accounting and Financial Management Department

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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Abstract

This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices.

Original language	English
Article number	102413
Pages (from-to)	1-14
Number of pages	14
Journal	Research in International Business and Finance
Volume	70
Issue number	Part B
Early online date	27 May 2024
DOIs	https://doi.org/10.1016/j.ribaf.2024.102413
Publication status	Published - 1 Jun 2024

Keywords

COVID-19, US
Global financial crisis
Inflation
UK
Volatility

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.ribaf.2024.102413Licence: CC BY

1-s2.0-S027553192400206X-mainFinal published version, 4.88 MBLicence: CC BY

Cite this

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title = "Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis",

abstract = "This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices.",

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author = "Aljohani, {Bader M.} and Abubaker Fadul and Asiri, {Maram S.} and Alkhathami, {Abdulrahman D.} and Fakhrul Hasan",

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language = "English",

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Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis. / Aljohani, Bader M.; Fadul, Abubaker; Asiri, Maram S. et al.
In: Research in International Business and Finance, Vol. 70, No. Part B, 102413, 01.06.2024, p. 1-14.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Volatility transmission in the property market during two inflationary periods

T2 - The 2008–2009 global financial crisis and the COVID-19 crisis

AU - Aljohani, Bader M.

AU - Fadul, Abubaker

AU - Asiri, Maram S.

AU - Alkhathami, Abdulrahman D.

AU - Hasan, Fakhrul

PY - 2024/6/1

Y1 - 2024/6/1

N2 - This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices.

AB - This research paper investigates the changes in correlation patterns of volatility between the UK and US property markets and other global markets during periods of inflation. We use the global financial crisis (GFC) and the COVID-19 crisis as proxies for two inflationary periods. Our data set consists of the period between April 11, 2007, to April 4, 2022. We apply a bivariate Dynamic Conditional Correlation (DCC) and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to explain the time-varying correlation between UK and US property markets and other global property markets. According to our analysis, there is a sizable time-varying link between the real estate markets in our sample. Additionally, we discover that the GFC and COVID-19 exhibit different relationships with UK and US real estate market indices.

KW - COVID-19, US

KW - Global financial crisis

KW - Inflation

KW - UK

KW - Volatility

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DO - 10.1016/j.ribaf.2024.102413

M3 - Article

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VL - 70

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JO - Research in International Business and Finance

JF - Research in International Business and Finance

IS - Part B

M1 - 102413

ER -

Volatility transmission in the property market during two inflationary periods: The 2008–2009 global financial crisis and the COVID-19 crisis

Abstract

Keywords

UN SDGs

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