Original scientific paper
https://doi.org/10.1080/1331677X.2020.1789887
Are there contagion effects in the REIT market? The case of Brexit
Ming-Che Wu
Yung-Shi Liau
Yung-Chang Wang
Abstract
On June 23, 2016 the Brexit event that tremendously surprised
and shocked investors around the world was considered the largest black swan with a political earthquake in 2016, and even
spread to the international financial market and real estate market. This study uses the heteroscedasticity biases based on correlation coefficients by Forbes and Rigobon and the GJR-GARCH
model to examine the contagion effects of the Brexit event on
global REITs markets. The data are collected at the daily interval
covering the time period from June 23, 2015 to December 30,
2016. Evidence reveals that no REITs markets suffered from Brexit,
suggesting no transmission of Brexit across REITs markets, even
the neighbouring markets, is found.
Keywords
Brexit; contagion effect; REITs; correlation coefficient; GJR-GARCH model
Hrčak ID:
301172
URI
Publication date:
31.12.2021.
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