International Journal of Research in Finance and Marketing
  • Year: 2014
  • Volume: 4
  • Issue: 9

The seasonal and spillover effects of Real Estate Investment Trusts (REIT) Exchange-Traded Funds (ETFS)

  • Author:
  • Jo-Hui Chen1, John Francis T. Diaz, Chih-Sean Chen
  • Total Page Count: 13
  • Page Number: 1 to 13

*Professor, Department of Finance, Chung Yuan Christian University, Chung Li, Taiwan

**Assistant Professor, Department of Finance and Department of Accounting, Chung Yuan Christian University, Chung Li, Taiwan

***College of Business, Chung Yuan Christian University, Chung Li, Taiwan, ROC

1Corresponding Author

Online published on 29 November, 2014.

Abstract

This study utilizes Autoregressive Moving Average (ARMA) and Seasonal Autoregressive Moving Average (SARMA) to determine the seasonal and spillover effects from the returns of Real Estate Investment Trust-Exchange-Traded Funds (REIT-ETFs) and the stock index. Bilateral-return influences and a strong positive relationship exist between REIT-ETFs and the tracked index. Unilateral influences between lagged returns of both REIT-ETFs and stock indices are also apparent. A significant majority of the samples are best modeled by SARMA, supporting the claim of the REITs’ seasonality factor. This article also finds that a one-step ahead method of forecasting can best predict both REIT-ETFs and stock index returns.

Keywords

Seasonal and Spillover Effects of Returns, REIT-ETFs