IDEAS home Printed from https://ideas.repec.org/a/ids/gbusec/v27y2022i1p20-42.html
   My bibliography  Save this article

The impact of expectations on the co-integration relationship between the stock and REIT markets

Author

Listed:
  • Umit Erol
  • Aydin Yuksel
  • Asli Yuksel
  • Hakki Ozturk

Abstract

This paper examines if expectations have a significant impact on the co-integration relationship between stock and real estate investment trust markets. We use two widely followed expectation indicators which are the US yield spread and the expected US stock market volatility (VIX) to test this hypothesis. The US yield spread is decomposed into two components which are the expected short-term interest rate (EF) and a variable term premium (TP) using Hamilton-Kim algorithm. A dataset covering ten developed markets is used. Using co-integration score analysis our findings indicate that expected US short-term interest rates and expected US stock market volatility have a statistically significant and positive impact on the global co-integrations of different countries. This effect is especially valid in the post-global financial crisis period. The expectation-based indicators EF and VIX, however, do not seem to have a significant impact on co-integration at regional and local levels.

Suggested Citation

  • Umit Erol & Aydin Yuksel & Asli Yuksel & Hakki Ozturk, 2022. "The impact of expectations on the co-integration relationship between the stock and REIT markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 27(1), pages 20-42.
    • Handle: RePEc:ids:gbusec:v:27:y:2022:i:1:p:20-42
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=124626
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:gbusec:v:27:y:2022:i:1:p:20-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=168 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.