Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises

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dc.authorid0000-0002-8619-5093
dc.authorid0000-0001-9428-0426
dc.authorid0000-0002-8716-9049
dc.authorid0000-0003-4546-838X
dc.contributor.authorErol, Ümiten_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorÖztürk, Hakkıen_US
dc.date.accessioned2020-09-11T06:44:12Z
dc.date.available2020-09-11T06:44:12Z
dc.date.issued2020-06-03
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractThis paper analyses the cointegration relationship between the REIT and stock markets of ten developed countries during the 2005-2013 period, which is characterised by the global financial and the European debt crises. Given the structural breaks in the data, the effect of these two crises is examined separately by dividing the sample period into four equal parts and by using M-TAR cointegration analysis. The results suggest that the cointegration between the stock and REIT markets was not a globally observed feature prior to the twin crises. The strong and globally valid cointegration observed after 2007 was due to the common negative response of both markets to the unexpected massive shocks. These shocks also led to bilateral causality and strong feedback effects between these two markets, thus strictly limiting the diversification benefits of the REIT market during the crisis period.en_US
dc.identifier.citationErol, Ü., Yüksel, S. A., Yüksel, A. & Öztürk, H. (2020). Cointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crises. Paper presented at the Global Business and Economics Review, 23(1), 23-49. doi:10.1504/gber.2020.108393en_US
dc.identifier.doi10.1504/gber.2020.108393
dc.identifier.endpage49
dc.identifier.issn1097-4954
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85090196079
dc.identifier.scopusqualityQ4
dc.identifier.startpage23
dc.identifier.urihttps://hdl.handle.net/11729/2373
dc.identifier.urihttp://dx.doi.org/10.1504/gber.2020.108393
dc.identifier.volume23
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherInderscience Publishersen_US
dc.relation.ispartofGlobal Business and Economics Reviewen_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCointegrationen_US
dc.subjectCrisisen_US
dc.subjectReal estate investment trusten_US
dc.subjectREITen_US
dc.subjectStock marketen_US
dc.titleCointegration and adjustment dynamics of REIT and stock markets during the global financial and European debt crisesen_US
dc.typeConference Objecten_US
dspace.entity.typePublication

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