Alexandra Krystalogianni and
Simon Stevenson ()
Additional contact information James Chong: California State University-Northridge
Alexandra Krystalogianni: Schroders Property Investment
Simon Stevenson: School of Real Estate & Planning, Henley Business School, University of Reading
The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.