Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
Journal of Real Estate Portfolio Management. 24 (1): pp. 65-81, 2018
University of Pretoria, Department of Economics Working Paper Series, 2016-66, September, 2016
18 Pages Posted: 21 Sep 2016 Last revised: 24 Apr 2018
Date Written: September 15, 2016
Abstract
The study examines herding behavior in Turkish REITs (T-REITs) by using daily closing prices over the period of July 2007 to May 2016. To the best of our knowledge, this paper is the first study to solely examine the herding behavior in T-REITs by utilizing Chang et al. (2000) methodology. For the three sub-periods, our results indicate herding behaviors, the presence of directional asymmetry and linear relation between volatility and herding. The evidences suggest herding is a persistent phenomenon and increases during the period of market stress. Finally, we also find transitivity in volatility periods in both with/without asymmetry term models. The research draws critical implications for portfolio managers and supervisors dealing with emerging markets and T-REITs.
Keywords: REIT, herd behavior, asymmetric herding, volatility, Turkey
JEL Classification: C32, G15, G11
Suggested Citation: Suggested Citation