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1-7 of 7
Keywords: Volatility
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Journal Articles
The dynamic role of the Japanese property sector REITs in mixed-assets portfolio
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Journal of Property Investment & Finance (2023) 41 (2): 208–238.
Published: 09 January 2023
...-varying volatility of REITs and correlations with other assets. The estimates were employed to construct out-of-sample portfolios based on the three assets for daily investment. The five sets of portfolios with each individual property sector REITs, as well as a portfolio of stocks and bonds that served...
Journal Articles
Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic
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Journal of Property Investment & Finance (2023) 41 (5): 473–505.
Published: 21 July 2022
...Monsurat Ayojimi Salami; Harun Tanrivermiş; Yeşim Tanrivermiş Purpose This study aims to examine the performance and volatility of Turkey Real Estate Investment Trusts (Turkish REITs) as the world is adjusting to the new normal situation in every aspect of REITs' business activities. Design...
Journal Articles
How long is UK property cycle?
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Journal of Property Investment & Finance (2017) 35 (4): 410–426.
Published: 03 July 2017
...Arvydas Jadevicius; Simon Hugh Huston Purpose The purpose of this paper is to assess the duration of the UK commercial property cycles, their volatility and persistence to gauge future market direction. Design/methodology/approach The study employs a novel approach to dissect cycles in a form...
Journal Articles
Hospitality REITs and financial crisis: a comprehensive assessment of market quality
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Journal of Property Investment & Finance (2017) 35 (3): 277–289.
Published: 03 April 2017
... on different trading strategies based on the underlying liquidity and volatility of hospitality REITs as compared traditional REITs and the broader market. Design/methodology/approach The paper uses established microstructure measures for liquidity, trading volumes and risk assessment and compares daily...
Journal Articles
Google search volume sentiment and its impact on REIT market movements
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Journal of Property Investment & Finance (2016) 34 (3): 249–262.
Published: 04 April 2016
...Nicole Braun Purpose The purpose of this paper is to analyze the effect of investor sentiment, measured with Google internet search data, on volatility forecasts of the US REIT market. Design/methodology/approach The author uses the S&P US REIT index and collects search volume data from...
Journal Articles
Regime switching and asset allocation: Evidence from international real estate security markets
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Journal of Property Investment & Finance (2007) 25 (3): 274–288.
Published: 01 May 2007
.... The principal task in this research is to explore a regime‐switching model for international real estate securities. As an extension of work in Ang and Bekaert (2003) and Liow et al. (2005) , the main components are described below. © Emerald Group Publishing Limited 2007 Volatility...
Journal Articles
Conditional variance tests of integration between direct and indirect real estate markets
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Journal of Property Investment & Finance (2003) 21 (4): 366–382.
Published: 01 August 2003
...Tien Foo Sing; Sook Beng Stephanie Sng This study tests the hypothesis of market integration between the securitised and the unsecuritised real estate market by examining the information contents of their respective ex‐post conditional volatility measures. The two markets are said...
