The transmission of shocks across real estate investment trust (REIT) markets
This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit root tests reveal that the respective REITs are integrated of order one, Johansen-Juselius cointegration tests suggest that the three REIT markets are not cointegrated. The absence of cointegration supports the proposition of financial market efficiency proposed by Granger and by Richards. Granger-causality tests and Wald tests of long-run relations are presented to examine the short-run dynamics of the respective REIT markets; moreover, the generalized impulse response analysis reveals that shocks across the REIT markets are disseminated quickly.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 14 (2004)
Issue (Month): 17 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Phillips, P.C.B., 1986.
"Testing for a Unit Root in Time Series Regression,"
Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
- James G. MacKinnon, 1990.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- Tom Doan, . "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
- James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Darcey D. Terris & F.C. Neil Myer, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 483-494.
- James D. Peterson & Cheng-Ho Hsieh, 1997. "Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 321-345.
- 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.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- 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.
- 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.
- Yuming Li & Ko Wang, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 471-482.
- Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
- John Okunev & Patrick J. Wilson, 1997.
"Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503.
- John Okunev & Pat Wilson, 1995. "Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets," Working Paper Series 47, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- F.C. Neil Myer & Mukesh K. Chaudhry & James R. Webb, 1997. "Stationarity and Co-Integration in Systems with Three National Real Estate Indices," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 369-381.
- Liu, Crocker H, et al, 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-82, September.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:14:y:2004:i:17:p:1211-1217. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.