Abstract
Executive Summary. Using the quantile regressionmethod, this paper investigates the dynamic relationshipsof the equity real estate investment trust (REIT)sector to S&P 500, S&P 400 Mid Cap, S&P 600 SmallCap, NASDAQ, U.S. Small Cap Pure Value, and U.S.Small Cap Pure Growth sectors in the presence of abnormalreturn and volatility, respectively. The findingsconsistently show that the tail effects on the dynamic relationshipsbetween the equity REIT sector and othermajor equity sectors are remarkable when its return andvolatility are extremely high or low. Moreover, the impactsof the major equity sectors on the equity REITs areasymmetric in the presence of extremely high and lowreturn and volatility.
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