scholarly journals The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia

2017 ◽  
Vol 14 (3) ◽  
pp. 173-188
Author(s):  
Hao Fang ◽  
Yen-Hsien Lee ◽  
Jen-Sin Lee ◽  
Wei-Jui Chen
Keyword(s):  
Real Estate ◽  
Stock Markets ◽  
The United States ◽  
Stock Index ◽  
Real Estate Investment ◽  
The Us ◽  
Adjustment Speed ◽  
Non Linear ◽  
Short Run ◽  
Return Dynamics

This study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.

scholarly journals Nonlinear Short-Run Adjustments between REITs and Stock Markets in the USA and Australia

2022 ◽  
pp. 47-68
Author(s):  
Cheng-Wen Lee ◽  
Wei-Jui Chen
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Structural Breaks ◽  
The United States ◽  
Jel Classification ◽  
Smooth Transition ◽  
Vector Error Correction ◽  
The Us ◽  
The Usa ◽  
Short Run

Abstract This study examines whether nonlinear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Moreover, we employ the smooth-transition, vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of the short-run REITs and corresponding stock returns in dynamics. The empirical results demonstrate that there is a nonlinear co-integration with structural breaks between the equity and mortgage REITs and stock markets in the US as well as between the REITs and stock markets in Australia. When large positive and negative deviations of STVECM exist, the speed of equilibrium adjustment of the S&P 500 index is greater than that of the Mortgage REITs index. Additionally, the higher the equilibrium adjustment of Australian/US REITs index, the greater the reversion of Australian/US REITs index. Meanwhile, this study is also interested in finding out whether the REIT indices in the US or Australia would serve as a leading indicator for price movements. The result findings may provide a good reference for the investors’ investment engaged in the areas of these two countries. JEL Classification: C22, D53, G14, L85. Keywords: REITs, STVECM, Nonlinear Granger causality, GARCH.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

scholarly journals International Real Estate Review

2007 ◽  
Vol 10 (2) ◽  
pp. 1-22
Author(s):  
Lawrence Kryzanowski ◽  
◽  
Margarita Tcherednitchenko ◽  
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Composite Index ◽  
Market Risk ◽  
Real Estate Investment Trusts ◽  
Common Stock ◽  
Real Estate Investment ◽  
Short Run ◽  
Equity Investments ◽  
Stock Portfolio

The return performance and factor sensitivities of Canadian equity real estate investment trusts (E-REITs) are examined. Today, typical and average Canadian E-REIT IPOs are correctly priced based on first- day and subsequent short-run returns. The overpricing evident earlier in the 1993-96 period for typical and average E-REIT IPOs has corrected. E-REITs are equity investments with about one-half the market risk, and greater ensitivity to interest-rate changes, than the S&P/TSX Composite Index. E-REITs outperformed the S&P/TSX Composite over the 1996-2004 period on a return, risk, and market- and/or risk-adjusted basis. Thus, E-REITs provided material diversification benefits with no sacrifice in return, when added to a common stock portfolio during the studied period.

scholarly journals Non-linear impact of exchange rate changes on U.S. industrial production

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Arash Habibi
Keyword(s):  
Exchange Rate ◽  
Industrial Production ◽  
The United States ◽  
Energy Materials ◽  
Non Linear ◽  
Short Run ◽  
Linear Effects ◽  
Exchange Rate Changes ◽  
Misspecification Error ◽  
The U.S

Abstract This paper contributes to the literature on the nexus between production and exchange rate in the United States (U.S.) by considering non-linear adjustments of exchange rate effects on industrial production in several sectors of the U.S. economy. We employ a Non-linear Autoregressive Distributed Lags (NARDL) model which is built upon the Solow model. We show that there exists a non-linear relationship between these two variables in some of the MMIGs. We document short-run non-linear effects of exchange rate on production of non-energy materials, durable manufacturing, consumer goods and business equipment. The short-run effects last into the long-run for all the sectors. While exchange rate changes have short-run linear effects on production of electricity in the U.S., there are no effects of exchange rate movements on the production of mining, and energy materials. Moreover, the paper finds misspecification error of the model for the case of durable manufacturing. The existence of non-linearities considering import content of exports, support our hypothesis and conclusions. Further, the factors that influence demand provide justifications for our results.

Intensity of shock transmission amid US-BRICS markets

2015 ◽  
Vol 10 (3) ◽  
pp. 311-328 ◽  
Author(s):  
P. Lakshmi ◽  
S. Visalakshmi ◽  
Kavitha Shanmugam
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Subprime Mortgage ◽  
Content Type ◽  
Brics Countries ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

scholarly journals The Impact of Macroeconomic Factors on US Islamic and Conventional Equity

2019 ◽  
Vol 32 (2) ◽  
pp. 43-58
Author(s):  
Mazhar Hallak Kantakji Mazhar Hallak Kantakji
Keyword(s):  
Interest Rate ◽  
Industrial Production ◽  
Stock Index ◽  
Screening Process ◽  
Macroeconomic Factors ◽  
Long Run ◽  
The Us ◽  
Endogenous Variables ◽  
Short Run ◽  
The Impact

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities.

scholarly journals Accountants’ perceptions of tax amnesty: A survey during the COVID-19 pandemic in Greece

2021 ◽  
Author(s):  
Stergios Tasios ◽  
Evangelos Chytis ◽  
Stefanos Gousias
Keyword(s):  
United States ◽  
Stock Markets ◽  
Economic Activity ◽  
Financial Crises ◽  
The United States ◽  
Tidal Wave ◽  
Adverse Impact ◽  
Tax Amnesty ◽  
The Us ◽  
Restrictive Measures

Although humanity has faced many plaques and epidemics from antiquity, the COVID-19 came as a tidal wave, overwhelming nations and governments. Restrictive measures, social distancing and ultimately lockdown and quarantine, emerged as a response to decelerate the spread of the disease and save human lives. These measures may have decreased COVID-19 cases, they had, however, an adverse impact on economic activity and stock markets (Ashraf, 2020). Research shows that the pandemic has already influenced the United States (the US), Germany, and Italy‘s stock markets more than the global financial crises (Shehzad, Xiaoxing, & Kazouz 2020)

The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
James Giannarelli ◽  
Piyush Tiwari
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Practical Significance ◽  
Market Forces ◽  
Real Estate Investment ◽  
Content Type ◽  
Commercial Property ◽  
Fund Managers ◽  
Short Run ◽  
Market Factors

PurposeThis paper examines the extent of the short-run relationship between Australian real estate investment trusts (A-REITs) and direct real estate returns on both a commercial property sector and a prime and secondary grade basis, i.e. a subsector basis.Design/methodology/approachTwo-step methodology is used. First, we identify the dynamic interdependencies between A-REITs and each commercial property subsector to determine whether the returns of A-REITs lead each subsector or vice versa. Second, short-run deviations between these asset returns are estimated by measuring their individual response behaviours to changes in key economic and financial market factors that are expected to influence these returns.FindingsResults suggest that each subsector shares a unique relationship to A-REITs, given each prime and secondary grade commercial property return series varies in behaviour. Some property subsector returns can be predicted by movements in A-REIT returns, whereas returns for others move independent to changes in A-REITs. Similarly, some subsectors commove with A-REITs in response to changes in certain market factors, whereas others diverge. As such, these findings have practical significance to fund managers and portfolio selection, as each commercial subsector embodies its own exposure to A-REITs and vulnerabilities to market forces. Subsectors that commove with A-REITs in response to certain market forces may be used as substitutes in a portfolio. Alternatively, subsectors that diverge from A-REITs in response to market forces may offer diversification benefits when combined.Practical implicationsThese findings extend beyond existing research to offer critical decision-making guidance at the acquisition level, as fund managers may more closely consider the impact that prime or secondary grade properties within a given commercial sector may have on a portfolio that consists of public and private Australian real estate. Ultimately, a more informed acquisition may be carried out as consideration of a property's asset grade allows for a deeper insight into the property's risk profile and its anticipated short-run impact on a portfolio.Originality/valueThis paper extends previous studies that focus mostly on aggregate or sector-level returns by measuring REIT and real estate dynamics at the subsector level, allowing for practical significance at not only the portfolio level but crucially at the acquisition level, a pivotal decision-making stage for fund managers. This is also the first paper to study REIT and real estate causality and response patterns to changes in market factors at the Australian sector level.

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