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首页> 外文期刊>Journal of Real Estate Portfolio Management >Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach
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Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach

机译：带有股票的房地产的时代整合：卡尔曼过滤方法

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摘要

This paper tests the level of market integration between Equity Real Estate Investment Trusts (REITs) and the stock market, using the Korajczyk (1996) market integration index and the Kalman filter methodology. The Kalman-filter technique is employed to capture the dynamic degree of integration between REITs and the stock market. The results show that REITs were highly integrated with the stock market throughout most of the sample period from 1984:1 to 2018:12. Nonetheless, the time varying market integration index displays a number of changes, which coincide with fluctuations in the legislation governing REITs and certain market and economic events. As a robustness check, we also compare the time varying market integration index of REITs with that displayed by Utilities. The results show that Utilities displayed a similar time varying market integration pattern to that of REITs and so indicates that the changes in market integration is not simply a REIT factor but a high yield sector phenomenon. Unlike REITs, from April 2011 Utilities became segmented from the stock market and remained so up to the end of the sample period, even though the static integration index suggested that utility stocks were integrated with the stock market over the whole sample period. Last, results show that the Kalman filter approach is more useful than static models when studying the integration process and so casts strong doubt on the validity of time invariant models to measure market integration.
机译：本文用Korajczyk（1996）市场一体化指数和卡尔曼滤波方法，测试了股权房地产投资信托信托信托（Reits）和股票市场之间的市场一体化水平。采用卡尔曼滤波器技术来捕获REIT和股票市场之间的动态集成度。结果表明，在大部分示例期间，REITS与股票市场高度集成在1984年：1至2018年：12：12。尽管如此，时间变化的市场整合指数显示了许多变化，这与立法和某些市场和经济事件的立法波动一致。作为稳健性检查，我们还比较了实用程序显示的REITS的时变市场集成指数。结果表明，实用程序显示了类似的时间变化的市场集成模式，表明市场一体化的变化不仅仅是一种高产部门现象。与Reits不同，从2011年4月，公用事业公司从股票市场进行了分割，仍然如此达到了样本期结束，尽管静态整合指数表明公用事业股票与股票市场相比整体样本。最后，结果表明，卡尔曼滤波器方法比研究集成过程的静态模型更有用，因此对时间不变模型的有效性来衡量市场集成的强烈怀疑。

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