A truly global crisis? Evidence from contagion dependence across international REIT markets

Huang, MeiChi; Wu, Chu-Hua; Cheng, I-Shan

doi:10.1016/j.najef.2021.101473

Cited by 1 publication

(10 citation statements)

References 37 publications

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“…This indicates a potentially high diversification gain for a portfolio that diversifies across Hong Kong and any of the other countries' REITs. This appears consistent with Huang et al . (2021), who identify insignificant covariance between USA and Hong Kong REITs.…”

Section: Data and Data Sourcessupporting

confidence: 94%

“…The Singapore REITs show evidence of interdependence with the global market after 2003, whereas interdependence is observed for the Hon -Kong and global markets between 2004-2013. The contagion and interdependence findings are consistent with and Huang et al (2021). Also, the evidence indicates significant diversification gains for portfolios containing the world and Hong Kong REITs and the world and Singapore REITs in the pre-2003 period.…”

Section: The Wavelet Coherency Between the Global And Individual Coun...supporting

confidence: 75%

“…Using a bivariate Markov-switching model, Huang et al (2021) investigate the dynamic comovements of REITs around the GFC. The findings show that global REIT markets displayed persistent 'bust' regimes from September 2008 to May 2009.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Using a bivariate Markov-switching model, Huang et al . (2021) investigate the dynamic co-movements of REITs around the GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Liow et al ., 2017; Ijasan et al ., 2021; Rehman et al ., 2022) and the effect of the global financial crisis (GFC) on REITs markets co-movement (see, e.g. Zhou, 2016; Huang et al ., 2021; Garcia-Lamarca, 2021). Similarly, only a few studies have investigated REITs' market integration at different time scales (see, e.g.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

The integration of real estate investment trust: a wavelet coherency analysis

Boamah

Opoku

Zamore

2023

CFRI

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PurposeThe study investigates the co-movements amongst real estate investments trust (REITs). This study examines the co-movements between the world and individual countries' REITs and the co-movements amongst country-pair REITs. This study explores the responsiveness of the REITs markets' co-movements to the 2008 global financial crisis (GFC), the coronavirus disease 2019 (COVID-19) pandemic and the Russian–Ukraine conflict.Design/methodology/approachThe study employs a wavelet coherency technique and relies on data from six REITs markets over the 1995–2022 period. FindingsThe evidence shows a generally high level of coherency between the global and the country's REITs. The findings further indicate higher co-movements between some country pairs and a lower co-movement for others. The results suggest that the REITs markets increased in co-movements around the 2008 GFC, the COVID-19 pandemic and the Russian–Ukraine conflict. These increased co-movements mostly lasted for a short period suggesting REITs markets contagion around these global events. The results generally suggest interdependence between the global and the country's REITs. Additionally, interdependence is observed for some of the country-pair REITs.Originality/valueThe evidence indicates that REITs markets respond to global events. Thus, the increasing co-movement amongst REITs observed in this study may expose domestic REITs to global crisis. However, this study provides opportunities for minimising the cost of capital for real estate projects. Also, REITs provide limited diversification gains around crisis times. Therefore, countries need to open the REITs markets to global investors whilst pursuing policies to ensure the resilience of the REITs markets to global events. Investors should also take note of the declining geographic diversification gains from some country-pair REITs portfolios.

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Section: Data and Data Sourcessupporting

confidence: 94%

Section: The Wavelet Coherency Between the Global And Individual Coun...supporting

confidence: 75%

Section: Literature Reviewmentioning

confidence: 99%

“…Using a bivariate Markov-switching model, Huang et al . (2021) investigate the dynamic co-movements of REITs around the GFC.…”

Section: Literature Reviewmentioning

confidence: 99%