Is there convergence between the BRICS and International REIT Markets?

Omokolade Akinsomi, Yener Coskun (), Luis Gil-Alana and Olaoluwa Yaya

MPRA Paper from University Library of Munich, Germany

Abstract: The BRICS market represents high growth economies. This paper empirically examines the long-run equilibrium as well as the short-run linkages between the BRICS REIT markets and the REIT markets in developed countries (United States, Australia and the United Kingdom). We employ fractional co-integration techniques between the BRICS REIT markets and 3 most developed REIT markets. This paper tests the hypothesis of fractional integration, our results showed no evidence of co-integration between BRICS REIT markets and the REIT markets of any of the developed economies in the long run, while the result only indicated that the BRICS REIT markets is influenced by the developed economies in the short run. The implications of this study shows that a portfolio of developed REIT markets are diversifiable when added into a portfolio of BRICS REIT markets. This is particularly significant for investors and fund analysts in other to reduce portfolio risks.

Keywords: BRICS; Fractional integration; Fractional cointegration; Real estate investment trust (search for similar items in EconPapers)
JEL-codes: C22 C30 R0 R2 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-cis
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:88756

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