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Yayın Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises(Inderscience Publishers, 2020-06-03) Erol, Ümit; Yüksel, Sadettin Aydın; Yüksel, Aslı; Öztürk, HakkıThis 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.Yayın The impact of expectations on the co-integration relationship between the stock and REIT markets(Inderscience Publishers, 2022-06-29) Ümit, Erol; Yüksel, Aydın; Yüksel, Aslı; Öztürk, HakkıThis 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.Yayın Global risk aversion and emerging market return comovements(Elsevier Science SA, 2018-12) Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin AydınUtilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The results underscore the importance of non-cash flow shocks in models of contagion and portfolio risk.
