期刊名称：Journal of Applied Economics and Business Research
电子版ISSN：1927-033X
出版年度：2014
卷号：4
期号：2
页码：107-119
出版社：Journal of Applied Economics and Business Research
摘要：This study uses the BEKK-GARCH (1,1) framework to test for causality in-mean and in-variance between REIT returns and changes in consumer sentiment. The results provide evidence supportive of causality in-mean running from All, Equity, and Mortgage REIT returns to changes in consumer sentiment for the full sample period and the first sub-period but not vice versa. In the second sub-period, there was no evidence of causality in-mean between changes in consumer sentiment and the various REIT returns. The results further show evidence of bidirectional causality in -variance between changes in consumer sen timent and the three REIT returns in the full sample period and the first sub-period. For the second sub-period, ca usality in-variance runs from changes in consumer sentiment to All and Equity REIT returns. However, evidence of bidirectional causality in-variance is indicated between changes in consumer sentiment and Mortgage REIT returns for the second sub -period. Taken together, the results suggest that innovations in consumer sentiment are informational in predicting future movements in REIT returns and vice versa.
关键词：Multivariate G ARCH; REIT returns; consumer sentiment; causality in-variance
