{"title":"日本房地产投资信托基金市场的区域相互依赖:异方差稳健时间序列方法","authors":"Kaiji Motegi, Yoshitaka Iitsuka","doi":"10.2139/ssrn.3902176","DOIUrl":null,"url":null,"abstract":"This paper investigates the dynamic interdependence between the stock returns of regionally disjoint Japanese real estate investment trusts (REITs), where the property type and a market return are controlled. We take a multivariate time series approach with the error term being allowed to have conditional heteroscedasticity of unknown form. We find significant spillover effects from central to local areas in conditional mean, a potential signal of arbitrage opportunities. The spillover effects have become stronger after the COVID-19 crisis for the office and hotel sectors, but not for the residential sector. This contrast suggests that a geographic diversification strategy within residential REIT securities should be more effective than that within office or hotel, especially during a period of turmoil.","PeriodicalId":436489,"journal":{"name":"HEN: Econometrics (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Regional Interdependence of the Japan REIT Market: A Heteroscedasticity-Robust Time Series Approach\",\"authors\":\"Kaiji Motegi, Yoshitaka Iitsuka\",\"doi\":\"10.2139/ssrn.3902176\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates the dynamic interdependence between the stock returns of regionally disjoint Japanese real estate investment trusts (REITs), where the property type and a market return are controlled. We take a multivariate time series approach with the error term being allowed to have conditional heteroscedasticity of unknown form. We find significant spillover effects from central to local areas in conditional mean, a potential signal of arbitrage opportunities. The spillover effects have become stronger after the COVID-19 crisis for the office and hotel sectors, but not for the residential sector. This contrast suggests that a geographic diversification strategy within residential REIT securities should be more effective than that within office or hotel, especially during a period of turmoil.\",\"PeriodicalId\":436489,\"journal\":{\"name\":\"HEN: Econometrics (Topic)\",\"volume\":\"34 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"HEN: Econometrics (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3902176\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"HEN: Econometrics (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3902176","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Regional Interdependence of the Japan REIT Market: A Heteroscedasticity-Robust Time Series Approach
This paper investigates the dynamic interdependence between the stock returns of regionally disjoint Japanese real estate investment trusts (REITs), where the property type and a market return are controlled. We take a multivariate time series approach with the error term being allowed to have conditional heteroscedasticity of unknown form. We find significant spillover effects from central to local areas in conditional mean, a potential signal of arbitrage opportunities. The spillover effects have become stronger after the COVID-19 crisis for the office and hotel sectors, but not for the residential sector. This contrast suggests that a geographic diversification strategy within residential REIT securities should be more effective than that within office or hotel, especially during a period of turmoil.