Dynamic Correlations across REIT Sub-Sectors

James Chong, 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

No rep-wp2011-07, Real Estate & Planning Working Papers from Henley Business School, Reading University

Abstract: 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.

References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.reading.ac.uk/REP/fulltxt/0411.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2011-07

Access Statistics for this paper

More papers in Real Estate & Planning Working Papers from Henley Business School, Reading University
Contact information at EDIRC.
Series data maintained by Ed Quick ().