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Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors

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  • James E. Payne

Abstract

This note examines the transmission of shocks across REIT sub-sector returns: apartments, industrial, lodging, manufactured homes, office, and regional malls. Though the respective return indices are integrated of order one, Johansen--Juselius cointegration tests suggest that REIT sub-sectors are not cointegrated. Granger-causality and Wald tests are presented to examine the short-run dynamics among REIT sub-sector returns. Generalized impulse response analysis suggests that shocks are transmitted to the other REIT sub-sectors rather quickly with the initial impact decaying towards zero before the second month. Also, lodging returns tend to have the largest initial response due to innovations in the other REIT sub-sector returns and manufactured homes the smallest.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 2 (2006)
Issue (Month): 3 (May)
Pages: 141-146

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Handle: RePEc:taf:apfelt:v:2:y:2006:i:3:p:141-146

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  1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  2. James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1211-1217.
  3. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  4. Glascock, John L & Lu, Chiuling & So, Raymond W, 2000. "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 20(2), pages 177-94, March.
  5. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns," IMF Working Papers 96/28, International Monetary Fund.
  6. Bradley Ewing, 2002. "The transmission of shocks among S&P indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 285-290.
  7. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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