Further Evidence on the Integration of REIT,Bond, and Stock Returns |
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| Authors: | Glascock John L Lu Chiuling So Raymond W |
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| Institution: | (1) Department of Finance, George Washington University, 2023 G Street, 540B Lisner, Washington, DC, 20052;(2) Department of Finance, National Chung Cheng University, Chia-Yi, Taiwan;(3) Department of International Business, The Chinese University of Hong Kong, Shatin, Hong Kong |
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| Abstract: | This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992. |
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| Keywords: | real estate investment trust bond market stock market and cointegration |
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