studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

existence of three market regimes (low, high and extreme or crash volatility) with transition ordered as ‘low, high and crash … volatility'. Although static herding model rejects the existence of herding in REITs markets, estimates of the regimes switching … model reveal substantial evidence of herding behaviours under the low volatility regime. Most interestingly we observe a …

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis … period of 2007-2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest … that REIT implied volatility is negatively related to contemporaneous stock returns; there is a significant positive …