The convergent behavior in REIT markets

I‐Chun Tsai and Cheng‐Feng Lee

Journal of Property Investment & Finance, 2012, vol. 30, issue 1, 42-57

Abstract: Purpose - The purpose of this paper is to analyze whether a convergent behavior exists in the price indexes of the seven Asian Real Estate Investment Trust (REIT) markets. Design/methodology/approach - The authors investigate the convergent behavior in Asian REIT indexes against Japan and the USA by conducting the unit‐root testing procedure. Findings - Results show that the Asian REIT markets are more connected with the US REIT market than with that of Japan. The convergent behavior was more obvious since 2007. Practical implications - The underlying assets of real estate securities in different countries are usually not directly related; hence, there should be segmentation to a certain extent between international REIT markets as well. If the performances of Asian REIT markets are converged, this linkage can be viewed as a contagion effect. Originality/value - The results of this paper indicate that the risk of REITs might be underestimated and the benefit that investors may acquire from adding REITs to their portfolios might be overestimated.

Keywords: Property investment; Prices; Real Estate Investment Trust; Contagion effect; Panel test; Asian markets (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:v:30:y:2012:i:1:p:42-57

DOI: 10.1108/14635781211194791

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