Please use this identifier to cite or link to this item:
Title: Long memory and level shifts in REITS returns and volatility
Authors: Assaf, Ata 
Affiliations: Faculty of Business and Management 
Keywords: REITS
Breaks or long memory
R/S and V/S
Issue Date: 2015
Publisher: Elsevier
Part of: International Review of Financial Analysis
Volume: 42
Start page: 172
End page: 182
This paper provides an empirical investigation of the long memory in the returns and volatility of REITs markets of the USA, the UK, Hong Kong, Australia, and Japan. Initially, we subject the series to unit root tests proposed by Saikkonen and L├╝tkepohl (2002) and Lanne et al. (2002),which allow for a level shift in the data generating process. We confirm the stationarity of the REITs returns in the presence of structural breaks, with the breaks happening during the 2008 and 2009 periods. Second, by employing long memory tests and estimators, a weak long memory is demonstrated in the return series, but a strong evidence is provided in the volatility measures. Then using Smith (2005)'s modified GPH estimator, we find that a short-memory model with a level shift is a viable alternative to a long memory model for the USA, Hong Kong and Japan and not for the UK nor for Australia. Finally, we confirm that the long memory in volatility is real and not caused by shifts in variance for all markets. Our results should be useful to market participants in the REITs markets, whose success depends on the ability to forecast and model REITs price movements.
DOI: 10.1016/j.irfa.2015.06.004
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

Show full item record


checked on Mar 25, 2023

Record view(s)

checked on Mar 28, 2023

Google ScholarTM


Dimensions Altmetric

Dimensions Altmetric

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.