A0779
Title: Diversification power of Turkish real estate market securities: The role of data frequency and dividend policies
Authors: Metin Ilbasmis - University of Aberdeen Business School & Wenzhou-Kean University (United Kingdom) [presenting]
Marc Gronwald - University of Aberdeen (United Kingdom)
Yuan Zhao - University of Aberdeen (United Kingdom)
Abstract: Dynamic correlations are investigated between stock and REIT markets in both Turkey and the U.S., using an Asymmetric DCC - GJR - GARCH model to estimate the dynamic correlation at daily, weekly, and monthly frequencies. The contribution is threefold. First, we show, in all three data frequencies, a downward trend in conditional correlation in the Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is consistent with the literature. Second, we observe that the trend in the correlation changes the direction with the 2008 Global Financial Crisis. The negative trend in Turkish market becomes positive and the positive trend in the U.S. market becomes negative after the crisis, which could indicate a structural break in the REIT market with the crisis. Third, the dividend policy of REITs plays an important role on the dynamics of the correlation. Dividend payments by Turkish REITs are negatively associated with the correlation while no such relationship is detected in the U.S. Furthermore, we argue that effects of dividend payments by REITs on REIT correlation with the stock index is associated with the different regulatory environment of REITs in Turkey.
