Document Type

Article

Publication Date

11-2017

Subject: LCSH

Financial news, Real estate investment trusts

JEL Classification

E44, E52, C32, F42, G14

Disciplines

Economics

Abstract

International real estate markets and the ever increasing role of the U.S. economic and policy developments have played a central role both in international portfolio management as well as broader economic policy making. In this paper, we measure the extent of time-varying impact of the U.S. monetary policy and macroeconomic news on the international Real Estate Investment Trusts (REITs) stock returns. Results suggest that there has been significant variation both across time and across countries in the impact of U.S. news on the global REIT stocks. Further, the country’s stock market capitalization to GDP ratio has strong connections with the time-varying nature of the impact of the U.S. news on the global REIT stock returns.

Comments

This is the authors' accepted version of the published article. The version of record can be found at http://dx.doi.org/10.1016/j.najef.2017.09.007

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

DOI

10.1016/j.najef.2017.09.007

Publisher Citation

Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying response to the US monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42, 640-653.

Available for download on Tuesday, October 08, 2019

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Economics Commons

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