Arbeitspapier
Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy
This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is consistent with the literature. Second, we observe that the trend in the correlation changes the direction with the 2008 Global Financial Crisis. The negative trend in Turkish market becomes positive and the positive trend in the U.S. market becomes negative after the crisis, which could indicate a structural break in the REIT market caused by the crisis. Third, we find that the dividend policy of REITs plays an important role on the dynamics of the correlation. Dividend payments by Turkish REITs decrease their conditional correlation with the Turkish stock market while no such relationship is detected in the U.S. We argue that both the relationship between dividend payments by REITs and REIT correlation with the stock index is associated with the different regulatory environment of REITs in Turkey.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 7015
- Classification
-
Wirtschaft
Model Construction and Estimation
Financial Econometrics
- Subject
-
REITs
equity
correlations
DCC-GARCH
deterministic trend
dividend policy
- Event
-
Geistige Schöpfung
- (who)
-
Ilbasmis, Metin
Gronwald, Marc
Zhao, Yuan
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2018
- Handle
- Last update
-
29.08.190728635, 2:01 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ilbasmis, Metin
- Gronwald, Marc
- Zhao, Yuan
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2018
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