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A0186
Title: Regional interdependence of the Japan REIT market: A heteroscedasticity-robust time series approach Authors:  Kaiji Motegi - Kobe University (Japan)
Yoshitaka Iitsuka - Kobe University (Japan) [presenting]
Abstract: The aim is to investigate 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 an office or hotel, especially during a period of turmoil.