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- W4310121787 abstract "This paper investigates the dynamic interdependence between the stock returns of geographically non-overlapping Japanese real estate investment trusts (J-REITs), where the property type and a market return are controlled. We take a multivariate time series approach, allowing for conditional heteroscedasticity of unknown form. We find significant impacts of central J-REITs on local J-REITs in conditional mean, a potential signal of arbitrage opportunities. After the COVID-19 crisis, the central-to-local impacts have become stronger for all property types considered: office, residential, and hotel. This empirical result is consistent with the consensus that portfolio diversification is harder to achieve during a period of turmoil." @default.
- W4310121787 created "2022-11-30" @default.
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- W4310121787 date "2023-01-01" @default.
- W4310121787 modified "2023-10-16" @default.
- W4310121787 title "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach" @default.
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- W4310121787 doi "https://doi.org/10.1016/j.najef.2022.101840" @default.
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