The impact of expectations on the co-integration relationship between the stock and REIT markets

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dc.authorid0000-0002-8619-5093
dc.authorid0000-0001-9428-0426
dc.authorid0000-0002-8716-9049
dc.authorid0000-0003-4546-838X
dc.contributor.authorÜmit, Erolen_US
dc.contributor.authorYüksel, Aydınen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorÖztürk, Hakkıen_US
dc.date.accessioned2022-10-26T14:36:21Z
dc.date.available2022-10-26T14:36:21Z
dc.date.issued2022-06-29
dc.departmentIşık Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics, Administrative and Social Sciences, Department of Business Administrationen_US
dc.description.abstractThis 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.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationÜmit, 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.2022.10044384en_US
dc.identifier.doi10.1504/GBER.2022.10044384
dc.identifier.endpage42
dc.identifier.issn1097-4954
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85136213495
dc.identifier.scopusqualityQ4
dc.identifier.startpage20
dc.identifier.urihttps://hdl.handle.net/11729/5087
dc.identifier.urihttp://dx.doi.org/10.1504/GBER.2022.10044384
dc.identifier.volume27
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherInderscience Publishersen_US
dc.relation.ispartofGlobal Business and Economics Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectExpected US short-term interest ratesen_US
dc.subjectGlobalen_US
dc.subjectInternational diversificationen_US
dc.subjectRegional co-integrationen_US
dc.subjectThe US yield spreaden_US
dc.subjectVariable term premiumen_US
dc.subjectReal estate investment trustsen_US
dc.subjectRisk-adjusted returnsen_US
dc.subjectStock marketen_US
dc.titleThe impact of expectations on the co-integration relationship between the stock and REIT marketsen_US
dc.typeArticleen_US
dspace.entity.typePublication

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