How do Stocks in BRICS co-move with REITs?

Luis Gil-Alana and Olaoluwa Yaya

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1. However, we do not find any evidence suggesting long run equilibrium relationships between the REITs and the stocks. Meanwhile, causality is bidirectional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.

Keywords: Credit and wealth effects; Fractional integration; fractional cointegration; BRIC countries; REIT indices (search for similar items in EconPapers)
JEL-codes: C22 C50 R30 R39 (search for similar items in EconPapers)
Date: 2018-03
New Economics Papers: this item is included in nep-cis
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https://mpra.ub.uni-muenchen.de/88753/1/MPRA_paper_88753.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/93273/10/MPRA_paper_93273.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:88753

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