EconPapers    
Economics at your fingertips  
 

REITs and Market Microstructure: A Comprehensive Analysis of Market Quality

Pawan Jain (), Mark Sunderman () and K. Janean Westby-Gibson ()
Additional contact information
Pawan Jain: Central Michigan University
Mark Sunderman: University of Memphis
K. Janean Westby-Gibson: niversity of Memphis

Journal of Real Estate Research, 2017, vol. 39, issue 1, 65_98

Abstract: This study analyzes the market quality differences, in terms of liquidity and volatility, between real estate investment trusts (REITs) and non-REIT common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than non-REITs for the pre-crisis period. These relationships reverse during the post-crisis period with REITs becoming more liquid, less volatile, and cheaper to trade than non-REITs. Further, we document that post-crisis trading interest in REITs has increased significantly as reflected by increased volume, number of trades, and number of quotes.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol39n01/9869-03.65_98.pdf Full text (application/pdf)

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:jre:issued:v:39:n:1:2017:p:65_98

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().

 
Page updated 2020-04-28
Handle: RePEc:jre:issued:v:39:n:1:2017:p:65_98