Further evidence on the integration of REIT, bond, and stock returns

被引：150
|
作者：
Glascock, JL
Lu, CL
So, RW
机构：
[1] George Washington Univ, Dept Finance, Washington, DC 20052 USA
[2] Natl Chung Cheng Univ, Dept Finance, Chiayi, Taiwan
[3] Chinese Univ Hong Kong, Dept Int Business, Shatin, Hong Kong, Peoples R China
来源：
JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS | 2000年 / 20卷 / 02期
关键词：
real estate investment trust; bond market; stock market; and cointegration;
D O I：
10.1023/A:1007877321475
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992.
引用
收藏
页码：177 / 194
页数：18
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