The transmission of shocks across real estate investment trust (REIT) markets

James Payne and Hassan Mohammadi

Applied Financial Economics, 2004, vol. 14, issue 17, 1211-1217

Abstract: This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit root tests reveal that the respective REITs are integrated of order one, Johansen-Juselius cointegration tests suggest that the three REIT markets are not cointegrated. The absence of cointegration supports the proposition of financial market efficiency proposed by Granger and by Richards. Granger-causality tests and Wald tests of long-run relations are presented to examine the short-run dynamics of the respective REIT markets; moreover, the generalized impulse response analysis reveals that shocks across the REIT markets are disseminated quickly.

Date: 2004
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DOI: 10.1080/09603100410001692819

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