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Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors

James Payne ()

Applied Financial Economics Letters, 2006, vol. 2, issue 3, 141-146

Abstract: This note examines the transmission of shocks across REIT sub-sector returns: apartments, industrial, lodging, manufactured homes, office, and regional malls. Though the respective return indices are integrated of order one, Johansen--Juselius cointegration tests suggest that REIT sub-sectors are not cointegrated. Granger-causality and Wald tests are presented to examine the short-run dynamics among REIT sub-sector returns. Generalized impulse response analysis suggests that shocks are transmitted to the other REIT sub-sectors rather quickly with the initial impact decaying towards zero before the second month. Also, lodging returns tend to have the largest initial response due to innovations in the other REIT sub-sector returns and manufactured homes the smallest.

Date: 2006
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