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Executive Summary. This study examines whether volatility in a variety of equity and fixed income sectors based in the United States influence the monthly volatility of real estate investment trusts (REITs). The analysis is based on two alternative GARCH and EGARCH specifications and reveals a number of issues in relation to volatility spillovers. As with existing evidence with regard to returns, a causal relationship is revealed from Equity REITs to the other REIT sectors. In addition, the main influencing asset classes with regard to REITs are small cap stocks and value stocks, which given the characteristics of REITs, is in line with expectations. Finally, Mortgage REITs are not generally influenced by volatility in the fixed income sector.
Simon Stevenson (Tue,) studied this question.