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Dynamic Correlations across REIT Sub-Sectors

Author

Listed:
  • James Chong

    (California State University-Northridge)

  • Alexandra Krystalogianni

    (Schroders Property Investment)

  • Simon Stevenson

    (School of Real Estate & Planning, Henley Business School, University of Reading)

Abstract

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Suggested Citation

  • James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:repxwp:rep-wp2011-07
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    File URL: http://www.reading.ac.uk/REP/fulltxt/0411.pdf
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