Nonlinear Dynamics and Chaos Behaviors in the REIT Industry: A Pre- and Post-1993 Comparison

Benjamas Jirasakuldech and Riza Emekter

Journal of Real Estate Portfolio Management, 2012, vol. 18, issue 1, 57-77

Abstract: This study examines the nonlinear dynamic and chaos behavior of real estate investment trust (equity, mortgage, and hybrid) returns during the pre- and post-1993 REIT organizational and structural changes. There is substantial empirical evidence in favor of nonlinearity in the REIT industry and small stock markets for the whole sample periods and across two sub-periods. Asymmetric non-linear behavior that occurred in the real estate market is best described by a linear model with non Gaussian innovations; small stocks are nonlinear, but have Gaussian innovations. Similar patterns are reported for EREITs before and after 1993, suggesting that the return behavior of EREITs has not changed as the sizes and structures of REITs have changed over time.

Date: 2012
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DOI: 10.1080/10835547.2012.12089915

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