Accessibility navigation


Dynamic correlations between REIT sub-sectors and the implications for diversification

Chong, J., Krystalogianni, A. and Stevenson, S. (2012) Dynamic correlations between REIT sub-sectors and the implications for diversification. Applied Financial Economics, 22 (13). pp. 1089-1109. ISSN 1466-4305

Full text not archived in this repository.

To link to this article DOI: 10.1080/09603107.2011.639735

Abstract/Summary

The issue of whether Real Estate Investment Trusts (REITs) should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This article considers the relationship between REITs focused on different property sectors in a Generalized Autoregressive Conditional Heteroscedasticity-Dynamic Control Correlation (GARCH-DCC) framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > Real Estate and Planning
ID Code:28123
Publisher:Taylor and Francis

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation