The impact of expectations on the co-integration relationship between the stock and REIT markets
Küçük Resim Yok
Tarih
2022-06-29
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Inderscience Publishers
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper examines if expectations have a significant impact on the co-integration relationship between stock and real estate investment trust markets. We use two widely followed expectation indicators which are the US yield spread and the expected US stock market volatility (VIX) to test this hypothesis. The US yield spread is decomposed into two components which are the expected short-term interest rate (EF) and a variable term premium (TP) using Hamilton-Kim algorithm. A dataset covering ten developed markets is used. Using co-integration score analysis our findings indicate that expected US short-term interest rates and expected US stock market volatility have a statistically significant and positive impact on the global co-integrations of different countries. This effect is especially valid in the post-global financial crisis period. The expectation-based indicators EF and VIX, however, do not seem to have a significant impact on co-integration at regional and local levels.
Açıklama
Anahtar Kelimeler
Expected US short-term interest rates, Global, International diversification, Regional co-integration, The US yield spread, Variable term premium, Real estate investment trusts, Risk-adjusted returns, Stock market
Kaynak
Global Business and Economics Review
WoS Q Değeri
Scopus Q Değeri
Q4
Cilt
27
Sayı
1
Künye
Ümit, E., Yüksel, A., Yüksel, A. & Öztürk, H. (2022). The impact of expectations on the co-integration relationship between the stock and REIT markets. Global Business and Economics Review, 27(1), 20-42. doi:10.1504/GBER.2022.10044384
