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Tính liên tục giá cả và biến động trên thị trường REIT của Hoa Kỳ
Tóm tắt
Nghiên cứu này xem xét lại vấn đề hiệu quả thị trường REIT của Hoa Kỳ với hai khoảng trống đáng chú ý được phát hiện. Nhận thấy những phức tạp, sự thay đổi cấu trúc và phi tuyến tính trong các thị trường tài chính hiện đại, chúng tôi áp dụng kỹ thuật tích phân phân đoạn, kỹ thuật này hoạt động hiệu quả hơn các kỹ thuật thường dùng khác khi có sự thay đổi cấu trúc, tích phân phân đoạn, tính ổn định xu hướng và sự chuyển đổi chế độ trong chuỗi thời gian. Tóm tắt các kết quả của chúng tôi, chúng tôi phát hiện rằng thị trường REIT của Hoa Kỳ là hiệu quả trong mẫu tổng thể. Tuy nhiên, khi dữ liệu được chia, hiệu quả thị trường chỉ xảy ra trong giai đoạn trước khủng hoảng, nhưng trở nên kém hơn trong thời kỳ khủng hoảng và sau khủng hoảng. Ngoài ra, bằng chứng về hành vi hồi quy trung bình với bộ nhớ dài được xác lập cho biến động REIT, mặc dù sự hồi quy trung bình chậm hơn trong và sau khủng hoảng. Những kết quả này là vững chắc trước các phép đo dữ liệu khác nhau và có ý nghĩa chính sách quan trọng đối với các nhà đầu tư tiềm năng và các nhà hoạch định chính sách liên quan.
Từ khóa
#REIT #hiệu quả thị trường #tích phân phân đoạn #biến động tài chính #khủng hoảng tài chínhTài liệu tham khảo
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