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Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach

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  • Motegi, Kaiji
  • Iitsuka, Yoshitaka

Abstract

This paper investigates the dynamic interdependence between the stock returns of geographically non-overlapping Japanese real estate investment trusts (J-REITs), where the property type and a market return are controlled. We take a multivariate time series approach, allowing for conditional heteroscedasticity of unknown form. We find significant impacts of central J-REITs on local J-REITs in conditional mean, a potential signal of arbitrage opportunities. After the COVID-19 crisis, the central-to-local impacts have become stronger for all property types considered: office, residential, and hotel. This empirical result is consistent with the consensus that portfolio diversification is harder to achieve during a period of turmoil.

Suggested Citation

  • Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759
    DOI: 10.1016/j.najef.2022.101840
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    1. Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    Conditional heteroscedasticity; COVID-19; Geographical diversification; Vector autoregression (VAR); Vector error correction model (VECM);
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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