A Multivariate Analysis of United States and Global Real Estate Investment Trusts
Begiazi, K., Asteriou, D. & Pilbeam, K. (2016). A Multivariate Analysis of United States and Global Real Estate Investment Trusts. International Economics and Economic Policy, 13(3), pp. 467-482. doi: 10.1007/s10368-016-0349-z
Abstract
Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations.
| Publication Type: | Article |
|---|---|
| Publisher Keywords: | Real Estate Investment Trusts; Volatility Spillover; GARCH; BEKK; DCC |
| Subjects: | H Social Sciences > HB Economic Theory |
| Departments: | School of Policy & Global Affairs > Economics |
| SWORD Depositor: |
Available under License Creative Commons: Attribution International Public License 4.0.
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