Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/5035
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dc.contributor.authorAssaf, Ataen_US
dc.date.accessioned2021-05-10T06:24:37Z-
dc.date.available2021-05-10T06:24:37Z-
dc.date.issued2015-
dc.identifier.urihttps://scholarhub.balamand.edu.lb/handle/uob/5035-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.subjectREITSen_US
dc.subjectBreaks or long memoryen_US
dc.subjectR/S and V/Sen_US
dc.titleLong memory and level shifts in REITS returns and volatilityen_US
dc.typeJournal Articleen_US
dc.identifier.doi10.1016/j.irfa.2015.06.004-
dc.contributor.affiliationFaculty of Business and Managementen_US
dc.description.volume42en_US
dc.description.startpage172en_US
dc.description.endpage182en_US
dc.date.catalogued2021-05-10-
dc.description.statusPublisheden_US
dc.identifier.ezproxyURLhttp://ezsecureaccess.balamand.edu.lb/login?url=https://doi.org/10.1016/j.irfa.2015.06.004en_US
dc.relation.ispartoftextInternational Review of Financial Analysisen_US
Appears in Collections:Department of Business Administration
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