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- W2103234294 abstract "This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey–Fuller, Phillips–Perron, and Kwiatkowski–Phillips–Schmidt–Shin unit root tests reveal that the respective REITs are integrated of order one, Johansen–Juselius cointegration tests suggest that the three REIT markets are not cointegrated. The absence of cointegration supports the proposition of financial market efficiency proposed by Granger and by Richards. Granger-causality tests and Wald tests of long-run relations are presented to examine the short-run dynamics of the respective REIT markets; moreover, the generalized impulse response analysis reveals that shocks across the REIT markets are disseminated quickly." @default.
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- W2103234294 date "2004-11-15" @default.
- W2103234294 modified "2023-09-26" @default.
- W2103234294 title "The transmission of shocks across real estate investment trust (REIT) markets" @default.
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- W2103234294 doi "https://doi.org/10.1080/09603100410001692819" @default.
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