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Further Evidence on the Integration of REIT, Bond, and Stock Returns

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Author Info
Glascock, John L
Lu, Chiuling
So, Raymond W

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Abstract

This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992. Copyright 2000 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 20 (2000)
Issue (Month): 2 (March)
Pages: 177-94
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Handle: RePEc:kap:jrefec:v:20:y:2000:i:2:p:177-94

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  1. Elias Oikarinen, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy. [Downloadable!]
  2. James E. Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1211-1217, November. [Downloadable!] (restricted)
  3. Kuan-Min, Wang & Yuan-Ming, Lee & T.T.Binh, Nguyen, 2008. "Asymmetric Inflation Hedge of Housing Return: A Non-linear Vector Error Correction Approach," International Real Estate Review, Asian Real Estate Society, vol. 11(1), pages 65-82. [Downloadable!]
  4. Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany. [Downloadable!]
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  5. John L. Crain & Mike Cudd & Christopher L. Brown, 2000. "The Impact of the Revenue Reconciliation Act of 1993 on the Pricing Structure of Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 19(3), pages 275-285. [Downloadable!]
  6. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005. [Downloadable!]
  7. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Cercetari practice si teoretice in managementul urban/Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April. [Downloadable!]
  8. Sichong Chen, 2008. "Exploring the driving force and price adjustment of the J-REIT market," Economics Bulletin, Economics Bulletin, vol. 7(4), pages 1-9. [Downloadable!]
  9. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  10. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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