| Autor: |
Athanasios Koulakiotis, Maria I. Kyriakou, Apostolos Kiohos, Vassilios Babalos |
| Rok vydání: |
2020 |
| Předmět: |
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| Zdroj: |
The Quarterly Review of Economics and Finance. 76:181-189 |
| ISSN: |
1062-9769 |
| DOI: |
10.1016/j.qref.2019.05.011 |
| Popis: |
The aim of the present study is to examine securitized real estate market efficiency under a new perspective. We begin by investigating the effect of feedback trading strategies on long-term market volatility of three hypothetical portfolios of securitized real estate markets. To this end, the original FIGARCH and an extended GJR-FIGARCH methodology are employed. Our results reveal that positive feedback trading occurs across the three portfolios casting doubt on real estate market efficiency. Moreover, evidence against effciency is amplified by the documented volatility asymmetry. During the recent global financial crisis, the European portfolio of Italy and Sweden favors negative (symmetric and asymmetric) strategies with volatility (symmetric and asymmetic) being present and affecting the autocorelation of portfolio returns. Our results entail significant implications for market regulators and investors. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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