股票型房地产投资信托基金与标准普尔 500 指数回报率之间的相互作用

International Journal of Economics and Financial Issues Pub Date : 2024-05-14 DOI:10.32479/ijefi.15909

Matiur Rahman

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引用次数: 0

摘要

本文试图利用美国电子房地产投资信托指数和标准普尔 500 指数的每日收盘价来计算它们各自的回报率，从而重新研究同期的相互作用。本文使用的是 2008 年 10 月 31 日至 2023 年 10 月 31 日的每日数据，共有 3856 个观测值。数据来自 (www.wsj.com 和 (https://finance.yahoo.com/)。这两个变量的时间序列数据分布的均值与中值比接近正态分布，标准偏差非常小。采用普通最小二乘法（OLS）对回归（1）和（2）进行估计，以获得可靠和无偏的结果，因为它符合适用的统计标准。回归结果表明，它们之间存在微弱的交互作用，具有双向因果关系。

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Interactions between Equity REITs and S&P 500 Returns

This paper seeks to reinvestigate the contemporaneous interactions using daily closing prices of US eREIT and S&P 500 indices to calculate their respective rates of return. Daily data are used from October 31, 2008 through October 31, 2023 with 3,856 observations. Data are obtained from (www.wsj.com and (https://finance.yahoo.com/). The time series data distributions of both variables are near-normal in term of their respective mean-to-median ratio with very low standard deviations. The Ordinary Least Squares (OLS) is applied to estimate regressions (1) and (2) for reliable and unbiased results, as it meets the statistical criteria for suitability. The regression results show evidence of weak interactions between them with bidirectional causal flows.

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International Journal of Economics and Financial Issues

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期刊介绍： International Journal of Economics and Financial Issues (IJEFI) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of economics, finance and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of economics, finance and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published Bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Macroeconomcis International Economics Econometrics Business Economics Growth and Development Regional Economics Tourism Economics International Trade Finance International Finance Macroeconomic Aspects of Finance General Financial Markets Financial Institutions Behavioral Finance Public Finance Asset Pricing Financial Management Options and Futures Taxation, Subsidies and Revenue Corporate Finance and Governance Money and Banking Markets and Institutions of Emerging Markets Public Economics and Public Policy Financial Economics Applied Financial Econometrics Financial Risk Analysis Risk Management Portfolio Management Financial Econometrics.