Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors
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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Volume (Year): 2 (2006)
Issue (Month): 3 (May)
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- 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.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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 177-194, March.
- Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
- Anthony J. Richards, 1996. "Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
- Bradley Ewing, 2002. "The transmission of shocks among S&P indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 285-290.
- 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. Full references (including those not matched with items on IDEAS)
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