Regional Interdependence of the Japan REIT Market: A Heteroscedasticity-Robust Time Series Approach

Kaiji Motegi, Yoshitaka Iitsuka
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Abstract

This paper investigates the dynamic interdependence between the stock returns of regionally disjoint Japanese real estate investment trusts (REITs), where the property type and a market return are controlled. We take a multivariate time series approach with the error term being allowed to have conditional heteroscedasticity of unknown form. We find significant spillover effects from central to local areas in conditional mean, a potential signal of arbitrage opportunities. The spillover effects have become stronger after the COVID-19 crisis for the office and hotel sectors, but not for the residential sector. This contrast suggests that a geographic diversification strategy within residential REIT securities should be more effective than that within office or hotel, especially during a period of turmoil.
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日本房地产投资信托基金市场的区域相互依赖:异方差稳健时间序列方法
本文研究了日本房地产投资信托基金(REITs)股票收益之间的动态相互依存关系,其中房地产类型和市场收益受到控制。我们采用多元时间序列方法,允许误差项具有未知形式的条件异方差。在条件均值中,我们发现了显著的从中心到局部的溢出效应,这是套利机会的潜在信号。新型冠状病毒感染症(COVID-19病毒)后,办公楼和酒店领域的外溢效应明显,但住宅领域的外溢效应却不明显。这种对比表明,住宅房地产投资信托基金证券的地域多元化策略应该比办公室或酒店更有效,尤其是在动荡时期。
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