Dynamic correlations between REIT sub-sectors and the implications for diversification

Chong, 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 doi: 10.1080/09603107.2011.639735

Abstract/Summary

The 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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/28123
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Publisher	Taylor and Francis
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