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Price and volatility persistence of the US REITs market

Author

Listed:
  • Oluwasegun B. Adekoya

    (Federal University of Agriculture)

  • Gabriel O. Oduyemi

    (Tai Solarin University of Education)

  • Johnson A. Oliyide

    (Federal University of Agriculture)

Abstract

This study revisits the issue of REITs market efficiency for the US having discovered two notable gaps. Noting the complexities, structural changes and nonlinearities in modern financial markets, we employ the fractional integration technique which performs better than other commonly used techniques in the presence of structural breaks, fractional integration, trend-stationarity and regime switching in time series. Summarizing our results, we find that the US REITs market is efficient in the overall sample. However, when the data are splitted, market efficiency only occurs in the pre-crisis period, but becomes less so during the crisis and post-crisis periods. In addition, evidence of mean reverting long-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are robust to different data measurement and have crucial policy implications for potential investors and relevant policy makers.

Suggested Citation

  • Oluwasegun B. Adekoya & Gabriel O. Oduyemi & Johnson A. Oliyide, 2021. "Price and volatility persistence of the US REITs market," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
    • Handle: RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00102-8
    DOI: 10.1186/s43093-021-00102-8
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    Cited by:

    1. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.

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    More about this item

    Keywords

    REITs; Market efficiency; Fractional integration; Long memory; 2008 Global financial crisis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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