How Do Stocks in BRICS Co-Move With REITs?

26 Pages Posted: 12 May 2019

See all articles by Luis A. Gil-Alana

Luis A. Gil-Alana

University of Navarra - Department of Economics

OlaOluwa S. Yaya

University of Ibadan - Department of Statistics

Omokolade Akinsomi

University of the Witwatersrand

Yener Coskun

Capital Markets Board of Turkey

Date Written: April 12, 2019

Abstract

This paper investigates BRIC markets’ integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1. However, we do not find any evidence suggesting long run equilibrium relationships between the REITs and the stocks. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.

Keywords: Credit and wealth effects; Fractional integration; fractional cointegration; BRIC countries, REIT indices

JEL Classification: C22; C50; R30, R39

Suggested Citation

Gil-Alana, Luis A. and Yaya, OlaOluwa S. and Akinsomi, Omokolade and Coskun, Yener, How Do Stocks in BRICS Co-Move With REITs? (April 12, 2019). Available at SSRN: https://ssrn.com/abstract=3370918 or http://dx.doi.org/10.2139/ssrn.3370918

Luis A. Gil-Alana (Contact Author)

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

OlaOluwa S. Yaya

University of Ibadan - Department of Statistics ( email )

Ibadan, 234
Nigeria

Omokolade Akinsomi

University of the Witwatersrand ( email )

1 Jan Smuts Avenue
Johannesburg, GA Gauteng 2000
South Africa

Yener Coskun

Capital Markets Board of Turkey ( email )

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

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

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