The dynamic linkage among the Asian REITS market
This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversific...
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| Main Authors: | , , |
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| Format: | Article |
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University of Western Sydney
2015
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| Subjects: | |
| Online Access: | http://eprints.utm.my/58914/ http://eprints.utm.my/58914/ http://eprints.utm.my/58914/ |
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| Summary: | This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time. |
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