scholarly journals On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measuress

Entropy ◽  
2021 ◽  
Vol 23 (8) ◽  
pp. 1048
Author(s):  
Keagile Lesame ◽  
Elie Bouri ◽  
David Gabauer ◽  
Rangan Gupta
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Real Estate Investment Trust ◽  
Time Varying ◽  
Market Uncertainty ◽  
Real Estate Investment ◽  
The Us ◽  
Asian Pacific ◽  
The Global Financial Crisis ◽  
Market Interdependence

In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.

scholarly journals Preferences of Institutional Investors in Commercial Real Estate

2021 ◽  
Author(s):  
Dragana Cvijanović ◽  
Stanimira Milcheva ◽  
Alex van de Minne
Keyword(s):  
Real Estate ◽  
Market Segmentation ◽  
Institutional Investors ◽  
Global Financial Crisis ◽  
Commercial Real Estate ◽  
Time Varying ◽  
Transaction Process ◽  
Level Data ◽  
Micro Level ◽  
The Global Financial Crisis

AbstractIn this paper we analyze market segmentation by firm size in the commercial real estate transaction process. Using novel micro-level data, we look at the probability distribution of investors acquiring a specific bundle of real estate characteristics, distinguishing between investors based on the size of their real estate portfolio. We find evidence of market segmentation by investor size: institutional investors segment across property characteristics based on the size of their real estate portfolio. The probability that a large (small) seller will sell a property to a similar-sized buyer is higher, keeping all else equal. We explore potential drivers of this market segmentation and find that it is mainly driven by investor preferences. During the Global Financial Crisis (GFC), large investors were less likely to buy the ‘average’ property, as compared to the period before or after the crisis, indicating time-varying investor preferences.

scholarly journals International Real Estate Review

2016 ◽  
Vol 19 (2) ◽  
pp. 197-221
Author(s):  
Dong Chen ◽  
◽  
Yanmin Gao ◽  
Mayank Kaul ◽  
Desmond Tsang: ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Debt Maturity ◽  
Debt Financing ◽  
Real Estate Investment Trust ◽  
Real Estate Investment ◽  
Financing Decisions ◽  
External Management ◽  
Asian Pacific ◽  
The Impact

This paper studies how the presence of sponsor and external management affect leverage and debt maturity decisions in three major Asian-Pacific real estate investment trust (REIT) markets: Australia, Japan and Singapore. Our empirical results indicate that sponsored REITs opt for higher levels of leverage and loans with longer maturity. On the contrary, externally managed REITs are associated with lower leverage and loans with shorter maturity. Our results are robust to the inclusion of other firm variables and to alternative specifications. Subsequent to the financial crisis, the impact of sponsorship on debt financing decisions has diminished, and borrowing of externally managed REITs is further constrained.

The Return Performance of Real Estate Investment Trusts (REITs) and Portfolio Diversification Benefits

2020 ◽  
pp. 57-81
Author(s):  
Panagiotis Petris ◽  
Panayotis Alexakis
Keyword(s):  
Real Estate ◽  
Global Financial Crisis ◽  
Poor Performance ◽  
Real Estate Investment Trusts ◽  
Portfolio Diversification ◽  
Real Estate Investment ◽  
Investment Trusts ◽  
Market Portfolio ◽  
The Global Financial Crisis ◽  
Country Diversification

This study describes the emergence and the structure of Real Estate Investment Trusts (REITs) and investigates whether European REITs provide higher risk-adjusted returns and portfolio diversification benefits relative to the market portfolio. The top public listed companies of five (5) established (Belgium, France, Germany, Netherlands, UK), three (3) emerging (Italy, Spain, Ireland) and one (1) nascent (Greece) European REIT markets, are considered over period 2007 – 2018. The empirical findings denote poor performance of most European REITS over the Global Financial Crisis period but strong risk adjusted returns, overall, outperforming the equivalent European stock market indices and bonds over the first years of post - GFC period. In the recent period (2015 – 2018), most European REITs continued to deliver positive but modest risk adjusted returns relative to the previous period. The analysis provides evidence of poor portfolio diversification benefits and weak cross country diversification benefits among the European REITs.

scholarly journals A regime switching skew-normal model of contagion

2018 ◽  
Vol 23 (1) ◽  
Author(s):  
Joshua C.C. Chan ◽  
Renée A. Fry-McKibbin ◽  
Cody Yu-Ling Hsiao
Keyword(s):  
Regime Switching ◽  
Global Financial Crisis ◽  
Asset Returns ◽  
Time Varying ◽  
Skew Normal Distribution ◽  
The Us ◽  
Market Contagion ◽  
The Global Financial Crisis ◽  
European Equity ◽  
Skew Normal

Abstract A flexible multivariate model of a time-varying joint distribution of asset returns is developed which allows for regime switching and a joint skew-normal distribution. A suite of tests for linear and nonlinear financial market contagion is developed within the framework. The model is illustrated through an application to contagion between US and European equity markets during the Global Financial Crisis. The results show that correlation contagion dominates coskewness contagion, but that coskewness contagion is significant for Greece. A flight to safety to the US is also evident in the significance of breaks in the skewness parameter in the crisis regime. Comparison to the Asian crisis shows that similar patterns emerge, with a flight to safety to Japan, and Malaysia affected by coskewnes contagion with Hong Kong.

scholarly journals International Real Estate Review

2019 ◽  
Vol 22 (4) ◽  
pp. 463-512 ◽  
Author(s):  
Kim Liow ◽  
◽  
Jeongseop Song ◽  
Keyword(s):  
Real Estate ◽  
Value At Risk ◽  
Market Integration ◽  
Global Financial Crisis ◽  
Regression Equations ◽  
Portfolio Risk ◽  
Stock Market Crash ◽  
Cause And Effect ◽  
The Us ◽  
The Global Financial Crisis

The market integration of real estate investment trusts (REITs) in the US and four Asian markets as well as between their local stock and REIT markets are investigated in this paper. Using a number of modern econometric techniques on three integration indictors/proxies: time-varying conditional correlations, dynamic risk connectivity (variance-covariance) and cause and effect dependency of linear /nonlinear spillover and connectedness, we find that the five REIT markets show less integration than their corresponding stock markets. Moreover, the modelling of the portfolio risk spillover and connectedness (with covariance) shows a higher average level of market integration for the Asian REIT group. The REIT markets have experienced some significant shifts in their net total and net-pairwise directional risk connectivity. Additionally, investors and policymakers are reminded that any modelling of the cause and effect dependency of the REIT markets should be implemented with linear regression equations and a nonlinear value at risk system in risk spillover and connectedness (with covariance). Finally, significant contagious effects are identified across the REIT markets and stock and REIT portfolios during the global financial crisis and China stock market crash.

scholarly journals U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective

SAGE Open ◽  
2021 ◽  
Vol 11 (3) ◽  
pp. 215824402110326
Author(s):  
Lin Liu
Keyword(s):  
Global Financial Crisis ◽  
The United States ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Transient Effects ◽  
Economic Activities ◽  
Common Shocks ◽  
Uncertainty Shocks ◽  
Intensive Intervention ◽  
The Global Financial Crisis

This paper presents new empirical evidence concerning the time-varying responses of China’s macroeconomy to U.S. economic uncertainty shocks through a novel TVP-VAR model. The results robustly reveal that a rise in U.S. economic uncertainty would exert sizable, persistent, and significant detrimental effects on China’s gross domestic product (GDP), price level, and short-term interest rate during the period when common shocks take place, such as the global financial crisis around 2008, whereas small and transient effects in the tranquil times. Therefore, China should diversify its international linkages and gradually reduce the dependence on the United States into a certain range to shield the domestic economy, as well as improve the independence of monetary policy. Furthermore, to withstand unfavorable external shocks, China should be prudent on greater opening-up and carry out more intensive intervention when common shocks hit the world economy. Finally, investors should be alert to the potential detrimental impact of U.S. economic uncertainty on Chinese assets’ fundamentals.

scholarly journals Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?

Agriculture ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Pavel Kotyza ◽  
Katarzyna Czech ◽  
Michał Wielechowski ◽  
Luboš Smutka ◽  
Petr Procházka
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Market ◽  
Structural Breaks ◽  
Structural Changes ◽  
Global Financial Crisis ◽  
Market Uncertainty ◽  
Volatility Index ◽  
The Global Financial Crisis ◽  
The Relationship

Securitization of the agricultural commodity market has accelerated since the beginning of the 21st century, particularly in the times of financial market uncertainty and crisis. Sugar belongs to the group of important agricultural commodities. The global financial crisis and the COVID-19 pandemic has caused a substantial increase in the stock market volatility. Moreover, the novel coronavirus hit both the sugar market’s supply and demand side, resulting in sugar stock changes. The paper aims to assess potential structural changes in the relationship between sugar prices and the financial market uncertainty in a crisis time. In more detail, using sequential Bai–Perron tests for structural breaks, we check whether the global financial crisis and the COVID-19 pandemic have induced structural breaks in that relationship. Sugar prices are represented by the S&P GSCI Sugar Index, while the S&P 500 option-implied volatility index (VIX) is used to show stock market uncertainty. To investigate the changes in the relationship between sugar prices and stock market uncertainty, a regression model with a sequential Bai–Perron test for structural breaks is applied for the daily data from 2000–2020. We reveal the existence of two structural breaks in the analysed relationship. The first breakpoint was linked to the global financial crisis outbreak, and the second occurred in December 2011. Surprisingly, the COVID-19 pandemic has not induced the statistically significant structural change. Based on the regression model with Bai–Perron structural changes, we show that from 2000 until the beginning of the global financial crisis, the relationship between the sugar prices and the financial market uncertainty was insignificant. The global financial crisis led to a structural change in the relationship. Since August 2008, we observe a significant and negative relationship between the S&P GSCI Sugar Index and the S&P 500 option-implied volatility index (VIX). Sensitivity analysis conducted for the different financial market uncertainty measures, i.e., the S&P 500 Realized Volatility Index confirms our findings.

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