EconPapers    
Economics at your fingertips  
 

Are REITs a good shelter from financial crises? Evidence from the Asian markets

Ming‐Chu Chiang, I‐Chun Tsai and Tien Foo Sing

Journal of Property Investment & Finance, 2013, vol. 31, issue 3, 237-253

Abstract: Purpose - The goal of this research is to investigate the time‐varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach - The Multivariate GARCH‐vech model is used to capture the time‐varying correlation. The extreme value theory (EVT) is then employed to describe the extreme connection between REIT and market returns before and after financial crises. Findings - Empirical results show that the conditional risks in both markets have increased abruptly since the start of the sub‐prime mortgage crisis and soared to a higher level as Lehman Brothers collapsed. Besides, the REIT markets have been positively correlated with stock markets since the sub‐prime crisis unfolded and the increases of correlation coefficients after the crisis are more than two times larger than those before the crisis in most of the countries. Lastly, the size and probability of having extreme positive coefficient are greater than those expected in normal market conditions. Practical implications - Thus, empirical evidence suggests that REITs are not as defensive as they are in times of stable markets and may not be a good shelter during financial chaos. Originality/value - To investors, the authors' findings can fortify the understanding of market connections and assist in forming their portfolios. The authors' conclusion, which is drawn given the background of financial market turbulence, is different from those of other works, which mainly focus on the connection of REITs and stock markets in normal market conditions.

Keywords: REITs; Financial crisis; Correlation coefficients; Multivariate GARCH model; Extreme value theory; Correlation analysis; Multivariate analysis; Taiwan; Singapore; Japan (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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: https://EconPapers.repec.org/RePEc:eme:jpifpp:v:31:y:2013:i:3:p:237-253

DOI: 10.1108/14635781311322210

Access Statistics for this article

Journal of Property Investment & Finance is currently edited by Nick French

More articles in Journal of Property Investment & Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().

 
Page updated 2025-03-22
Handle: RePEc:eme:jpifpp:v:31:y:2013:i:3:p:237-253