Modelling structural changes in relations between returns of selected REIT indexes

Abstract

We have investigated the relations between 8 selected countries’ (USA, Canada, Japan, Australia, Hong Kong, Singapore, UK and France) daily returns of the REIT (Real Estate Investment Trust) indexes in the time period January 3, 2000 – May 8, 2012, divided in 3 subperiods bounded by the recent global financial market crises (July 1, 2008 – April 30, 2009). We have observed that in the postcrisis subperiod the influence of the delayed values (by 1 day) of the returns of the US REIT index on the REIT indexes of Japan and Australia greatly increased, while the same effect did not take place for the remaining (even East Asian) REIT indexes. We used the copula approach for fitting the optimal models for the investigated relations.