Title: Volatility analysis of REITs: empirical evidence for the EU peripheral countries

Authors: Kyriaki Begiazi; Dimitrios Asteriou

Addresses: School of Social Sciences, Hellenic Open University, Parodos Aristotelous 18, 26222, Patras, Greece ' Department of Accounting, Finance and Economics, Oxford Brookes University, Wheatley Campus, Wheatley, OX33 1HX, Oxford, UK

Abstract: This study investigates the real estate stock market in Portugal, Italy, Ireland, Greece and Spain from the introduction of the REIT legislation in each country until April 2014. We examine their descriptive statistics and we use various GARCH and asymmetric EGARCH models to their daily returns. The results suggest that the general index of each stock market has a significant impact on real estate stock returns except of the Italian BNS REIT and the Irish GREEN REIT. Except Greece, the general indices tend to report lower standard deviations than the REIT companies. The asymmetry of the volatility response to news seems to be present due to the fact that Italian IGD and BNS, Irish HIBERNIA, Spanish AXIA, MERLIN and PROMORENT along with the Greek Grivalia and TRASTOR report asymmetric transition dynamics for positive and negative shocks.

Keywords: real estate investment trusts; REIT legislation; GARCH model; asymmetry; real estate stock returns; volatility analysis; Portugal; Italy; Ireland; Greece; Spain.

DOI: 10.1504/IJBAAF.2015.077024

International Journal of Banking, Accounting and Finance, 2015 Vol.6 No.2, pp.87 - 98

Received: 10 Mar 2015
Accepted: 24 Feb 2016
Published online: 17 Jun 2016 *

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