Further Evidence on the Integration of REIT, Bond, and Stock Returns

  • John L. Glascock
  • Chiuling Lu
  • Raymond W. So

Abstract

This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992.

real estate investment trust bond market stock market and cointegration 

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Copyright information

© Kluwer Academic Publishers 2000

Authors and Affiliations

  • John L. Glascock
    • 1
  • Chiuling Lu
    • 2
  • Raymond W. So
    • 3
  1. 1.Department of FinanceGeorge Washington UniversityWashington
  2. 2.Department of FinanceNational Chung Cheng UniversityChia-YiTaiwan
  3. 3.Department of International BusinessThe Chinese University of Hong KongShatinHong Kong

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