Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180277
Authors: 
Ilbasmis, Metin
Gronwald, Marc
Zhao, Yuan
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper No. 7015
Abstract: 
This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is consistent with the literature. Second, we observe that the trend in the correlation changes the direction with the 2008 Global Financial Crisis. The negative trend in Turkish market becomes positive and the positive trend in the U.S. market becomes negative after the crisis, which could indicate a structural break in the REIT market caused by the crisis. Third, we find that the dividend policy of REITs plays an important role on the dynamics of the correlation. Dividend payments by Turkish REITs decrease their conditional correlation with the Turkish stock market while no such relationship is detected in the U.S. We argue that both the relationship between dividend payments by REITs and REIT correlation with the stock index is associated with the different regulatory environment of REITs in Turkey.
Subjects: 
REITs
equity
correlations
DCC-GARCH
deterministic trend
dividend policy
JEL: 
C51
C58
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.