Further Evidence on the Integration of REIT, Bond, and Stock Returns

John Glascock, Chiuling Lu and Raymond W So

The Journal of Real Estate Finance and Economics, 2000, vol. 20, issue 2, 177-94

Abstract: This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992. Copyright 2000 by Kluwer Academic Publishers

Date: 2000
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