Are there contagion effects in the REIT market? The case of Brexit

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 期刊論文 > Item 987654321/48706

Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/48706

Title:	Are there contagion effects in the REIT market? The case of Brexit
Authors:	Wu, MC (Wu, Ming-Che) Liau, YS (Liau, Yung-Shi) Wang, YC (Wang, Yung-Chang)
Contributors:	財金系
Keywords:	Brexit contagion effect REITs correlation coefficient GJR-GARCH model
Date:	2021
Issue Date:	2020-10-22 15:35:24 (UTC+8)
Abstract:	On June 23, 2016 the Brexit event that tremendously surprised and shocked investors around the world was considered the largest black swan with a political earthquake in 2016, and even spread to the international financial market and real estate market. This study uses the heteroscedasticity biases based on correlation coefficients by Forbes and Rigobon and the GJR-GARCH model to examine the contagion effects of the Brexit event on global REITs markets. The data are collected at the daily interval covering the time period from June 23, 2015 to December 30, 2016. Evidence reveals that no REITs markets suffered from Brexit, suggesting no transmission of Brexit across REITs markets, even the neighbouring markets, is found.
Relation:	ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA 開放取用卷 34, 期 1, 頁 410 - 426 2021
Appears in Collections:	[財務金融學系 ] 期刊論文

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