Real Estate Investment Trusts (REITs), traditionally known as an asset of low volatility, have been undergoing a period of unprecedentedly high volatility due to the current financial crisis. This has increased the need to search for appropriate methods to cope with extreme risks. This study...

There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample...

Stock markets are efficient in the weak form in the sense that no significant autocorrelations can be identified in the returns. However, the microscopic mechanisms are unclear. We aim at understanding the impacts of order flows on the weak-form efficiency through computational experiments based...

This article studies extreme risk spillovers among international Real Estate Investment Trust (REIT) markets. We apply the procedure of Granger causality in risk to six major markets. Our full-sample (1991--2010) results suggest that strong risk spillovers, which could be unidirectional or...

The comovement of equity markets is of crucial importance for portfolio diversification and risk management. In this study, we utilise the wavelet analysis to examine the comovement among international securitised real estate markets as well as the cross‐market comovement between the stock and...