Is there convergence between the BRICS and International REIT Markets?

Akinsomi, Omokolade and Coskun, Yener and Gil-Alana, Luis A. and Yaya, OlaOluwa S (2018): Is there convergence between the BRICS and International REIT Markets?

Abstract

The BRICS market represents high growth economies. This paper empirically examines the long-run equilibrium as well as the short-run linkages between the BRICS REIT markets and the REIT markets in developed countries (United States, Australia and the United Kingdom). We employ fractional co-integration techniques between the BRICS REIT markets and 3 most developed REIT markets. This paper tests the hypothesis of fractional integration, our results showed no evidence of co-integration between BRICS REIT markets and the REIT markets of any of the developed economies in the long run, while the result only indicated that the BRICS REIT markets is influenced by the developed economies in the short run. The implications of this study shows that a portfolio of developed REIT markets are diversifiable when added into a portfolio of BRICS REIT markets. This is particularly significant for investors and fund analysts in other to reduce portfolio risks.

• Item Type: MPRA Paper
• Language: English
• Keywords: BRICS; Fractional integration; Fractional cointegration; Real estate investment trust
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R0 - General; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R2 - Household Analysis

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