How Do Stocks in BRICS Co-Move With REITs?
26 Pages Posted: 12 May 2019
Date Written: April 12, 2019
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: Suggested Citation