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A multivariate analysis of United States and global real estate investment trusts

Author

Listed:
  • Kyriaki Begiazi

    (Hellenic Open University)

  • Dimitrios Asteriou

    (Oxford Brookes University)

  • Keith Pilbeam

    (City University London)

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.

Suggested Citation

  • Kyriaki Begiazi & Dimitrios Asteriou & Keith Pilbeam, 2016. "A multivariate analysis of United States and global real estate investment trusts," International Economics and Economic Policy, Springer, vol. 13(3), pages 467-482, July.
    • Handle: RePEc:kap:iecepo:v:13:y:2016:i:3:d:10.1007_s10368-016-0349-z
    DOI: 10.1007/s10368-016-0349-z
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    Cited by:

    1. Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
    2. Kola Ijasan & George Tweneboah & Maurice Omane-Adjepong & Peterson Owusu Junior, 2019. "On the global integration of REITs market returns: A multiresolution analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1690211-169, January.
    3. Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.
    4. Kyriaki Begiazi & Paraskevi Katsiampa, 2019. "Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 290-309, February.
    5. Oluwasegun B. Adekoya & Gabriel O. Oduyemi & Johnson A. Oliyide, 2021. "Price and volatility persistence of the US REITs market," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
    6. Masud Alam, 2024. "Volatility in U.S. Housing Sector and the REIT Equity Return," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 505-544, October.
    7. Kim Hiang LIOW & Jeongseop SONG, 2019. "Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 463-512.
    8. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    9. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.

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