 Are REITs more resilient than non-REITs? Evidence from natural experimentsPawan Jain and Arun Upadhyay Japan and the World Economy, 2021, vol. 58, issue C Abstract: REITs draw attention from investors around the world, yet our understanding of the various risks associated with such securities is limited. Using the introduction of Arrowhead, a low-latency high-frequency trading platform, to the Tokyo Stock Exchange and the financial crisis of 2008 as natural experiments, we compare the resilience of REITs and equities in terms of liquidity and volatility. The results indicate that the introduction of Arrowhead improved the quality of the Japanese REIT market but also increased the probability of flash crashes. We also find that although the financial crisis significantly deteriorated overall equity market quality, the Japanese REIT market was resilient. Finally, using a difference-in-differences regression model, we show that the higher transparency and better price discovery of REITs, compared to non-REITS, protected them from the negative effects of the financial crisis and the introduction of Arrowhead. Overall, our analysis shows that REITs are more resilient than non-REITs. Keywords: High frequency trading; Liquidity; Volatility; Arrowhead; Financial crisis; Tokyo Stock Exchange (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:58:y:2021:i:c:s0922142521000165 DOI: 10.1016/j.japwor.2021.101069 Access Statistics for this article Japan and the World Economy is currently edited by Robert Dekle and Yasushi Hamao More articles in Japan and the World Economy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.