Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises
Yükleniyor...
Tarih
2020-06-03
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Inderscience Publishers
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. Given the structural breaks in the data, the effect of these two crises is examined separately by dividing the sample period into four equal parts and by using M-TAR cointegration analysis. The results suggest that the cointegration between the stock and REIT markets was not a globally observed feature prior to the twin crises. The strong and globally valid cointegration observed after 2007 was due to the common negative response of both markets to the unexpected massive shocks. These shocks also led to bilateral causality and strong feedback effects between these two markets, thus strictly limiting the diversification benefits of the REIT market during the crisis period.
Açıklama
Anahtar Kelimeler
Cointegration, Crisis, Real estate investment trust, REIT, Stock market
Kaynak
Global Business and Economics Review
WoS Q Değeri
Scopus Q Değeri
Q4
Cilt
23
Sayı
1
Künye
Erol, Ü., Yüksel, S. A., Yüksel, A. & Öztürk, H. (2020). Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises. Paper presented at the Global Business and Economics Review, 23(1), 23-49. doi:10.1504/gber.2020.108393
