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Are the Global REIT Markets Efficient by a New Approach?

Hao Fang () and Yen-Hsien Lee ()
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Hao Fang: Graduate Institute of Assets and Property Management, Hwa Hsia Institute of Technology, Taiwan
Yen-Hsien Lee: Department of Finance, Chung Yuan Christian University, Taiwan

Panoeconomicus, 2013, vol. 60, issue 6, 743-757

Abstract: This study uses a panel KSS test by Nuri Ucar and Tolga Omay (2009), with a Fourier function based on the sequential panel selection method (SPSM) procedure proposed by Georgios Chortareas and George Kapetanios(2009) to test the efficiency of REIT markets in 16 countries from 28 March2008 to 27 June 2011. A Fourier approximation often captures the behavior ofan unknown break, and testing for a unit root increases its power to do so.Moreover, SPSM can determine the mix of I(0) and I(1) series in a panel settingto clarify how many and which are random walk processes. Our empirical results demonstrate that REIT markets are efficient in all sampled countries except the UK. Our results imply that investors in countries with efficient REITmarkets can adopt more passive portfolio strategies.

Keywords: REIT; Efficiency; Sequential panel selection method; Panel KSS test with a Fourier function; Portfolio strategy. (search for similar items in EconPapers)
JEL-codes: C23 C52 D53 G11 G14 L85 (search for similar items in EconPapers)
Date: 2013
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