Price and volatility persistence of the US REITs market

Abstract 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 financial markets, we employ the fractional integration technique which performs better than other commonly used t...

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Autores principales:	Oluwasegun B. Adekoya, Gabriel O. Oduyemi, Johnson A. Oliyide
Formato:	article
Lenguaje:	EN
Publicado:	SpringerOpen 2021
Materias:	REITs Market efficiency Fractional integration Long memory 2008 Global financial crisis Business HF5001-6182 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/a5aa29876b3f435c8d14441327976cc6
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spelling	oai:doaj.org-article:a5aa29876b3f435c8d14441327976cc62021-11-07T12:14:50ZPrice and volatility persistence of the US REITs market10.1186/s43093-021-00102-82314-7210https://doaj.org/article/a5aa29876b3f435c8d14441327976cc62021-11-01T00:00:00Zhttps://doi.org/10.1186/s43093-021-00102-8https://doaj.org/toc/2314-7210Abstract 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 financial markets, we employ the fractional integration technique which performs better than other commonly used techniques in the presence of structural breaks, fractional integration, trend-stationarity and regime switching in time series. Summarizing our results, we find that the US REITs market is efficient in the overall sample. However, when the data are splitted, market efficiency only occurs in the pre-crisis period, but becomes less so during the crisis and post-crisis periods. In addition, evidence of mean reverting long-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are robust to different data measurement and have crucial policy implications for potential investors and relevant policy makers.Oluwasegun B. AdekoyaGabriel O. OduyemiJohnson A. OliyideSpringerOpenarticleREITsMarket efficiencyFractional integrationLong memory2008 Global financial crisisBusinessHF5001-6182FinanceHG1-9999ENFuture Business Journal, Vol 7, Iss 1, Pp 1-10 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	REITs Market efficiency Fractional integration Long memory 2008 Global financial crisis Business HF5001-6182 Finance HG1-9999
spellingShingle	REITs Market efficiency Fractional integration Long memory 2008 Global financial crisis Business HF5001-6182 Finance HG1-9999 Oluwasegun B. Adekoya Gabriel O. Oduyemi Johnson A. Oliyide Price and volatility persistence of the US REITs market
description	Abstract 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 financial markets, we employ the fractional integration technique which performs better than other commonly used techniques in the presence of structural breaks, fractional integration, trend-stationarity and regime switching in time series. Summarizing our results, we find that the US REITs market is efficient in the overall sample. However, when the data are splitted, market efficiency only occurs in the pre-crisis period, but becomes less so during the crisis and post-crisis periods. In addition, evidence of mean reverting long-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are robust to different data measurement and have crucial policy implications for potential investors and relevant policy makers.
format	article
author	Oluwasegun B. Adekoya Gabriel O. Oduyemi Johnson A. Oliyide
author_facet	Oluwasegun B. Adekoya Gabriel O. Oduyemi Johnson A. Oliyide
author_sort	Oluwasegun B. Adekoya
title	Price and volatility persistence of the US REITs market
title_short	Price and volatility persistence of the US REITs market
title_full	Price and volatility persistence of the US REITs market
title_fullStr	Price and volatility persistence of the US REITs market
title_full_unstemmed	Price and volatility persistence of the US REITs market
title_sort	price and volatility persistence of the us reits market
publisher	SpringerOpen
publishDate	2021
url	https://doaj.org/article/a5aa29876b3f435c8d14441327976cc6
work_keys_str_mv	AT oluwasegunbadekoya priceandvolatilitypersistenceoftheusreitsmarket AT gabrielooduyemi priceandvolatilitypersistenceoftheusreitsmarket AT johnsonaoliyide priceandvolatilitypersistenceoftheusreitsmarket
_version_	1718443507369115648

Price and volatility persistence of the US REITs market

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