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How do Stocks in BRICS co-move with REITs?

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  • Gil-Alana, Luis A.
  • Yaya, OlaOluwa S

Abstract

This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1. However, we do not find any evidence suggesting long run equilibrium relationships between the REITs and the stocks. Meanwhile, causality is bidirectional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.

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  • Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:88753
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    File URL: https://mpra.ub.uni-muenchen.de/93273/10/MPRA_paper_93273.pdf
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    More about this item

    Keywords

    Credit and wealth effects; Fractional integration; fractional cointegration; BRIC countries; REIT indices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R39 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other

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