Munich Personal RePEc Archive

How do Stocks in BRICS co-move with REITs?

Gil-Alana, Luis A. and Yaya, OlaOluwa S and Akinsomi, Omokolade and Coskun, Yener (2018): How do Stocks in BRICS co-move with REITs?

This is the latest version of this item.

[thumbnail of MPRA_paper_93273.pdf] PDF

Download (309kB)


This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at bidirectional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1. However, we do not find any evidence suggesting long run equilibrium relationships between the REITs and the stocks. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.