کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083567 1477811 2014 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Evidence of contagion in global REITs investment
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Evidence of contagion in global REITs investment
چکیده انگلیسی
This study examines evidence of contagion in global REITs returns over 2006-2010 using daily REITs indices for 16 countries. We apply a correlation coefficient analysis to determine whether between-country REITs return co-movements increase significantly following a crisis. We use an extreme value analysis based on semiparametric and nonparametric estimators to measure global REITs returns with univariate country-specific value-at-risks and multivariate between-country contagion. Applying the iterated cumulative sums of squares to test the timing of market panics, we find significant evidence of contagion in global REITs returns worldwide during the 2007-2009 global financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 31, May 2014, Pages 148-158
نویسندگان
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