Ilbasmis, Metin
[Verfasser:in]
;
Gronwald, Marc
[Sonstige Person, Familie und Körperschaft];
Jun, Zhao Yuan
[Sonstige Person, Familie und Körperschaft]
Diversification Power of Real Estate Market Securities
Erschienen in:CESifo Working Paper Series ; No. 7015
Umfang:
1 Online-Ressource (48 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.3200259
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 7, 2018 erstellt
Beschreibung:
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