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Tuluca, Sorin A.; Myer, F. C. Neil; Webb, James R.

doi:10.1023/a:1012055920332

Cited by 42 publications

(4 citation statements)

References 35 publications

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“…The performance gap turns statistically insignificant in Pagliari et al (2005) in the more recent time period 1993-2001 once the authors control for property-type mix, leverage and appraisal smoothing differences between the two indices. Tuluca et al (2000) analyze the long-term relationships among five assets classes: T-bills, bonds, stocks, public and private real estate indices. They find that the price indices are non-stationary and cointegrated.…”

Section: Literature Review and Backgroundmentioning

confidence: 99%

Price Discovery in Real Estate Markets: A Dynamic Analysis

Yavaş

Yıldırım

2009

J Real Estate Finan Econ

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Section: Literature Review and Backgroundmentioning

confidence: 99%

Price Discovery in Real Estate Markets: A Dynamic Analysis

Yavaş

Yıldırım

2009

J Real Estate Finan Econ

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“…Initially, the scholars diverted their attention to the dynamic analysis of real estate investment trust. The foremost study by Giliberto (1990) determines the substantial linkage between the stock market and the US securitized real estate market; other scholars also predicted the potential association between real estate and stocks (Gyourko and Keim, 1992; Tuluca et al , 2000). This study has conferred two significant literary themes related to the prior work on REITs.…”

Section: Literature Reviewmentioning

confidence: 99%

Quantile connectedness among real estate investment trusts during COVID-19: evidence from the extreme tails of distributions

Tong

Khaskheli

Masood

2023

IJHMA

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Purpose Given the evolving market integration, this study aims to explore the connectedness of 12 real estate investment trusts (REITs) during the COVID-19 period. Design/methodology/approach The connectedness of 12 REITs was examined by considering three sample periods: full period, COVID peak period and COVID recovery period by using the quantile vector autoregressive (VAR) approach. Findings The findings ascertain that REIT markets are sensitive to COVID, revealing significant connectedness during each sample period. The USA and The Netherlands are the major shock transmitters; thus, these countries are relatively better options for the predictive behavior of the rest of the REIT markets. In contrast, Hong Kong and Japan are the least favorable REIT markets with higher shock-receiving potential. Research limitations/implications The study recommends implications for real estate industry agents and investors to evaluate and anticipate the direction of return connectedness at each phase of the pandemic, such that they can incorporate those global REITs less vulnerable to unplanned crises. Apart from these implications, the study is limited to the global REIT markets and only focused on the period of COVID-19, excluding the concept of other financial and health crises. Originality/value This study uses a novel approach of the quantile-based VAR to determine the connectedness among REITs. Furthermore, the present work is a pioneer study because it is targeting different time periods of the pandemic. Additionally, the outcomes of the study are valuable for investors, policymakers and portfolio managers to formulate future development strategies and consolidate REITs during the period of crisis.

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“…Results suggest that the benefits of diversification by including REITs in multi asset portfolios diminished after 1992. Tuluca et al (2000) found that the price indices of capital and real estate markets (T-bills, bonds, stocks, securitized real estate and direct real estate) were cointegrated. Liow (2000) found that Singapore commercial real estate market is cointegrated with property stock market and major macro-economic factors.…”

Section: Previous Studiesmentioning

confidence: 99%

Co-Movements of Reit Indices With Structural Changes Before and During the Subprime Mortgage Crisis: Evidence From Euro-Med Markets

Mandaci

Aktan

Çağlı

2014

International Journal of Strategic Property Management

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ABSTRACT. This paper examines the long-run relationships between the REIT indices of the UK, Turkey and Israel in the Euro-Med zone with that of MSCI US REIT Index by using weekly data over the period 2003Q3 through 2009Q3, which includes the latest US subprime mortgage crisis and its effects on global stock markets. Although our EG test results do not indicate a long-run relationship, after taking account of the structural changes by applying the GH test, we find a long-run interaction between the REIT indices of UK and Israel with that of the US. However, our results indicate the lack of co-movement between REIT index of Turkey with the US. In addition, our dynamic OLS test results indicate a perfect relationship between the UK and the US indices. Our findings show that international investors who make long-term investments can only gain from diversifying into the real estate market of Turkey among the involved markets in the Euro-Med zone. KEYWORDS:Co-movements; REIT; EuroMed; US; Crisis REFERENCE to this paper should be made as follows: Evrim Mandaci, P.; Aktan, B.; Cagli, E. C. 2014. Co-movements of REIT indices with structural changes before and during the subprime mortgage crisis: evidence from Euro-Med markets, International Journal of Strategic Property Management 18(1): 1-10.

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Untitled

Cited by 42 publications

References 35 publications

Price Discovery in Real Estate Markets: A Dynamic Analysis

Price Discovery in Real Estate Markets: A Dynamic Analysis

Quantile connectedness among real estate investment trusts during COVID-19: evidence from the extreme tails of distributions

Co-Movements of Reit Indices With Structural Changes Before and During the Subprime Mortgage Crisis: Evidence From Euro-Med Markets

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