223
Views
2
CrossRef citations to date
0
Altmetric
Article

Asymmetric downside and upside co-movements between stock and REIT markets

Pages 78-82 | Published online: 03 Mar 2017
 

ABSTRACT

This article aims to investigate whether stock and real estate investment trust (REIT) returns have asymmetric downside and upside co-movements. The investigation is carried out by employing a mixture copula with Markov-switching coefficients for weight, upper tail dependence and lower tail dependence. Empirical result demonstrates that an asymptotic independence and a positive relationship, which has greater dependence in the left tail than in the right tail, coexist. The empirical result provides useful information for making portfolio decisions. In the independent state, the inclusion of stock and REIT indices in a portfolio builds a diversified portfolio. However, a portfolio with stock and REIT assets cannot get the benefit of risk reduction in the positive dependence state.

JEL CLASSIFICATION:

Acknowledgements

The author thanks the financial support provided by the Ministry of Science and Technology of Taiwan [MOST 104-2410-H-415-004].

Disclosure statement

No potential conflict of interest was reported by the author.

Notes

1 Due to space limitations, the complete empirical results are not reported but they are available upon request.

Additional information

Funding

The author thanks the financial support provided by the Ministry of Science and Technology, Taiwan [MOST 104-2410-H-415-004].

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 53.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 205.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.