Similar Search Results

What Determines Stock Price Synchronicity in REITs?

Chung, Richard - 2011

This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2007. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks....

Persistent link: https://www.econbiz.de/10013127813

Dynamic Correlations Among Asset Classes : REIT and Stock Returns

Case, Brad - 2011

We use the Dynamic Conditional Correlation model with Generalized Autoregressive Conditional Heteroskedasticity (DCC …-GARCH) developed by Engle (Journal of Business & Economic Statistics 20(3):339–350, 2002) to examine dynamics in the correlation of …

Persistent link: https://www.econbiz.de/10013130479

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Yang, Jian - 2010

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …

Persistent link: https://www.econbiz.de/10013139729

The Information Content of the NCREIF Index

Li, Jinliang - 2012

Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...

Persistent link: https://www.econbiz.de/10013116718

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Yang, Jian - 2012

Persistent link: https://www.econbiz.de/10013101365

Credit Line Availability and Utilization in REITs

Hardin, William G. - 2010

Analysis of REIT credit line availability and use under normal conditions and during the recent financial crisis are provided. Descriptive statistics indicate REIT credit lines represent an important component of capital structure, credit line availability and utilization have increased...

Persistent link: https://www.econbiz.de/10013150872

Correlation and Volatility Dynamics in International Real Estate Securities Markets

Liow, Kim Hiang - 2009

We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly … returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample … volatilities. We also find the international correlation structure of real estate securities and the broader stock market are …

Persistent link: https://www.econbiz.de/10013157935

Correlation Dynamics and Determinants in International Securitized Real Estate Markets

Liow, Kim Hiang - 2014

We find the correlation movements among eight developed securitized real estate markets and among their stock markets … are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many … of the realized correlation series subject to regime switching. Moreover, international correlations of public property …

Persistent link: https://www.econbiz.de/10013052882

Inflation Correlation with Commercial Real Estate’ Investment Returns in Akure, Nigeria

Dabara, Daniel Ibrahim - 2016

This study aims at investigating the relationship between inflation and commercial real estate' investment returns with a view to determining the inflation-hedging characteristics of commercial property investments in Akure metropolis, Nigeria. Questionnaire survey was conducted to obtain...

Persistent link: https://www.econbiz.de/10012991455

Nonlinear contagion between stock and real estate markets : international evidence from a local Gaussian correlation approach

Bouri, Elie; Gupta, Rangan; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2089-2109

Persistent link: https://www.econbiz.de/10013184682