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• W2183684229 abstract "This study uses the BEKK-GARCH (1,1) framework to test for causality in-mean and in-variance between REIT returns and changes in consumer sentiment. The results provide evidence supportive of causality in-mean running from All, Equity, and Mortgage REIT returns to changes in consumer sentiment for the full sample period and the first sub-period but not vice versa. In the second sub-period, there was no evidence of causality in-mean between changes in consumer sentiment and the various REIT returns. The results further show evidence of bidirectional causality in-variance between changes in consumer sentiment and the three REIT returns in the full sample period and the first sub-period. For the second sub-period, causality in-variance runs from changes in consumer sentiment to All and Equity REIT returns. However, evidence of bidirectional causality in-variance is indicated between changes in consumer sentiment and Mortgage REIT returns for the second sub-period. Taken together, the results suggest that innovations in consumer sentiment are informational in predicting future movements in REIT returns and vice versa. Copyright © 2014 JAEBR" @default.
• W2183684229 created "2016-06-24" @default.
• W2183684229 creator A5012870480 @default.
• W2183684229 date "2014-01-01" @default.
• W2183684229 modified "2023-10-02" @default.
• W2183684229 title "Consumer Sentiment and REIT Returns: Testing for Causality in-Mean and in-Variance" @default.
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