Dynamic correlations between REIT sub-sectors and the implications for diversificationChong, 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. It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1080/09603107.2011.639735 Abstract/SummaryThe 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.
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