In this paper, we investigate the time-varying interconnectedness of international Real
Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT …

Using a sample of ten real estate investment trusts (REITs) from July 2004 to June 2017, we
find a less similar integration process is taking place in the global REIT markets. The local …

This paper differs from previous research by examining the existence of structural breaks in
the UK regional house prices as well as in the prices of the different property types (flats …

Although the literature on the benefits of diversifying equity portfolios to emerging markets is
abundant, the role of frontier markets in global equity portfolio diversification is clearly less …

This study examines how housing sector volatilities affect real estate investment trust (REIT)
equity return in the United States. I argue that unexpected changes in housing variables can …

This paper explores dynamic correlation and interdependence of five global REIT markets
using multivariate wavelet methods. United States, Hong Kong, Belgium, South Africa and …

This study examines information spillovers among Hong Kong (HK) REITs, major HK
financial markets, major Chinese Mainland financial markets, and the VIX index. Our results …

This study revisits the issue of REITs market efficiency for the US having discovered two
notable gaps. Noting the complexities, structural changes and nonlinearities in modern …

The paper examines the extent of connectivity and shock transmission among twenty
international public REITs using both static and dynamic econometric measures. The result …

One of the most interesting and challenging issues in the field of finance at the moment is
high-frequency trading (HFT). This is because HFT is a relatively new issue for most of the …