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Are there periodically collapsing bubbles in the REIT markets? New evidence from the US

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  • Xie, Zixiong
  • Chen, Shyh-Wei

Abstract

This study tests for the presence of Evans’ (1991) periodically collapsing bubbles in four real estate investment trust (REIT) classifications in the US by employing the momentum threshold autoregressive (MTAR) model and the MTAR model with smooth transition in trend (i.e., the LNV-MTAR model). By taking into account asymmetries in departures from the long-run equilibrium relationship, the MTAR technique is designed to empirically capture the characteristics of periodically collapsing bubbles. The results of the linear unit root test show evidence of rational bubbles, but the results of the MTAR test are mixed in the US REIT markets. The results of the LNV-MTAR test show that periodically collapsing bubbles do not hold in the US REIT markets provided that a structural shift in trend is allowed.

Suggested Citation

  • Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
  • Handle: RePEc:eee:riibaf:v:33:y:2015:i:c:p:17-31
    DOI: 10.1016/j.ribaf.2014.06.003
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    References listed on IDEAS

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    Cited by:

    1. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
    2. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    3. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta, 2014. "Revisiting Herding Behavior in REITs: A Regime-Switching Approach," Working Papers 201448, University of Pretoria, Department of Economics.
    4. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.

    More about this item

    Keywords

    Present value model; Periodically collapsing bubble; Unit root; MTAR;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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