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Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times

Author

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  • Kim Hiang LIOW

    (National University of Singapore)

  • Jeongseop SONG

    (National University of Singapore)

Abstract

The market integration of real estate investment trusts (REITs) in the US and four Asian markets as well as between their local stock and REIT markets are investigated in this paper. Using a number of modern econometric techniques on three integration indictors/proxies: time-varying conditional correlations, dynamic risk connectivity (variance-covariance) and cause and effect dependency of linear /nonlinear spillover and connectedness, we find that the five REIT markets show less integration than their corresponding stock markets. Moreover, the modelling of the portfolio risk spillover and connectedness (with covariance) shows a higher average level of market integration for the Asian REIT group. The REIT markets have experienced some significant shifts in their net total and net-pairwise directional risk connectivity. Additionally, investors and policymakers are reminded that any modelling of the cause and effect dependency of the REIT markets should be implemented with linear regression equations and a nonlinear value at risk system in risk spillover and connectedness (with covariance). Finally, significant contagious effects are identified across the REIT markets and stock and REIT portfolios during the global financial crisis and China stock market crash.

Suggested Citation

  • Kim Hiang LIOW & Jeongseop SONG, 2019. "Market Integration Among the US and Asian Real Estate Investment Trusts in Crisis Times," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 463-512.
    • Handle: RePEc:ire:issued:v:22:n:04:2019:p:463-512
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    Cited by:

    1. Liow, Kim Hiang & Song, Jeong Seop, 2022. "Frequency volatility connectedness and market integration in international real estate investment trusts," Finance Research Letters, Elsevier, vol. 45(C).
    2. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Market Integration; Time-Varying Conditional Correlation; Portfolio Risk Spillover and Connectedness; Variance- Covariance; Nonlinear Causality; Real Estate Investment Trust;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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