Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach

Kaiji Motegi and Yoshitaka Iitsuka

The North American Journal of Economics and Finance, 2023, vol. 64, issue C

Abstract: This paper investigates the dynamic interdependence between the stock returns of geographically non-overlapping Japanese real estate investment trusts (J-REITs), where the property type and a market return are controlled. We take a multivariate time series approach, allowing for conditional heteroscedasticity of unknown form. We find significant impacts of central J-REITs on local J-REITs in conditional mean, a potential signal of arbitrage opportunities. After the COVID-19 crisis, the central-to-local impacts have become stronger for all property types considered: office, residential, and hotel. This empirical result is consistent with the consensus that portfolio diversification is harder to achieve during a period of turmoil.

Keywords: Conditional heteroscedasticity; COVID-19; Geographical diversification; Vector autoregression (VAR); Vector error correction model (VECM) (search for similar items in EconPapers)
JEL-codes: C32 C58 R30 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759

DOI: 10.1016/j.najef.2022.101840

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