Show simple item record

AuthorAbuzayed, Bana
AuthorAl-Fayoumi, Nedal
AuthorBouri, Elie
Available date2023-01-17T06:57:07Z
Publication Date2020
Publication NameInternational Review of Economics and Finance
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.iref.2020.05.010
URIhttp://hdl.handle.net/10576/38485
AbstractThis study questions the reliability of securitized real estate investment trusts (REITs) for reducing risk in European stock investment portfolio during the global and European crisis periods. It considers co-movement and portfolio management by analyzing the time-varying correlation, hedging ratios, and portfolio weights. Using daily data from January 6, 2003 to April 11, 2018, the results show significant shift in correlation coefficients between the two assets under financial and economic stress. Consequently, potential diversification benefits appear limited when investing across REITs and stock markets. During crisis periods, investors are subject to a high cost for rebalancing their positions in REITs to mitigate stock portfolio risk. Further analyses confirm the inability of REITs to play hedge and safe-haven roles against stock market downturns. Our findings provide useful insights for investors and portfolio managers to formulate trading strategies, determine asset allocation, and assemble optimal portfolios. 2020 Elsevier Inc.
Languageen
PublisherElsevier
SubjectEurope
Hedging ratio
Portfolio diversification
Safe haven
Stocks
TitleCo-movement across european stock and real estate markets
TypeArticle
Pagination189-208
Volume Number69
dc.accessType Abstract Only


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record