Dynamic Correlations across REIT Sub-Sectors

James Chong, Alexandra Krystalogianni and Simon Stevenson
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James Chong: California State University-Northridge
Alexandra Krystalogianni: Schroders Property Investment

Real Estate & Planning Working Papers from Henley Business School, University of Reading

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.

Pages: 38 pages
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2011-07

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