The Volatility Dynamics of the Global REITs Market

Abstract

This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets. Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk. According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets. Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.