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REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

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  • Pawan Jain

    (Central Michigan University)

  • Mark Sunderman

    (University of Memphis)

  • K. Janean Westby-Gibson

    (niversity of Memphis)

Abstract

This study analyzes the market quality differences, in terms of liquidity and volatility, between real estate investment trusts (REITs) and non-REIT common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than non-REITs for the pre-crisis period. These relationships reverse during the post-crisis period with REITs becoming more liquid, less volatile, and cheaper to trade than non-REITs. Further, we document that post-crisis trading interest in REITs has increased significantly as reflected by increased volume, number of trades, and number of quotes.

Suggested Citation

  • Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
    • Handle: RePEc:jre:issued:v:39:n:1:2017:p:65_98
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    7. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).

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    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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