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

18 Pages Posted: 21 Sep 2016 Last revised: 24 Apr 2018

See all articles by Omokolade Akinsomi

Omokolade Akinsomi

University of the Witwatersrand

Yener Coskun

Capital Markets Board of Turkey

Rangan Gupta

University of Pretoria - Department of Economics

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

Akinsomi, Omokolade and Coskun, Yener and Gupta, Rangan, Analysis of Herding in REITs of an Emerging Market: The Case of Turkey (September 15, 2016). Journal of Real Estate Portfolio Management. 24 (1): pp. 65-81, 2018, Available at SSRN: https://ssrn.com/abstract=2841192 or http://dx.doi.org/10.2139/ssrn.2841192

Omokolade Akinsomi

University of the Witwatersrand ( email )

1 Jan Smuts Avenue
Johannesburg, GA Gauteng 2000
South Africa

Yener Coskun (Contact Author)

Capital Markets Board of Turkey ( email )

Eskisehir Yolu 8. km No:156
Ankara, 06530
Turkey

HOME PAGE: http://ankara.academia.edu/yenercoskun

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

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