Artikel
On the global integration of REITs market returns: A multiresolution analysis
This paper explores dynamic correlation and interdependence of five global REIT markets using multivariate wavelet methods. United States, Hong Kong, Belgium, South Africa and Australia's daily REITs returns are used as proxies for North America, Asia, Europe, Africa and the Oceania continents, respectively. Highlights from our results indicate the following: First, almost a perfect market integration at long-run periods for the REIT markets is observed. However, such strong market correlations dissipate significantly to moderate and weaker linkages at the medium, and short-run periods, thereby showing possible diversification opportunities at the latter scales. The finding also signifies that global REITs linkages increases with investment horizons. Second, an interdependent global market is found, where well-developed REITs tend to lead/lag relatively smaller or less developed market (especially Africa's REIT) across scales. Third, there are prospects of gaining higher expected daily returns per unit of risk from Europe and Asia's REITs than all other markets. Though not totally integrated, there exist conspicuous evidence against a segmented global REIT market. Our findings are useful for improving portfolio selection and minimising trading risk.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-18
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
International Investment; Long-term Capital Movements
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
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Global REITs
multiresolution analysis
MODWT
scale
diversification
- Ereignis
-
Geistige Schöpfung
- (wer)
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Ijasan, Kola
Tweneboah, George
Omane-Adjepong, Maurice
Owusu Junior, Peterson
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2019
- DOI
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doi:10.1080/23322039.2019.1690211
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ijasan, Kola
- Tweneboah, George
- Omane-Adjepong, Maurice
- Owusu Junior, Peterson
- Taylor & Francis
Entstanden
- 2019
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