{"id":"https://openalex.org/W2085953589","doi":"https://doi.org/10.1108/14635781211256747","title":"Linkages between international REITs: the role of economic factors","display_name":"Linkages between international REITs: the role of economic factors","publication_year":2012,"publication_date":"2012-07-28","ids":{"openalex":"https://openalex.org/W2085953589","doi":"https://doi.org/10.1108/14635781211256747","mag":"2085953589"},"language":"en","primary_location":{"id":"doi:10.1108/14635781211256747","doi":"https://doi.org/10.1108/14635781211256747","is_oa":false,"landing_page_url":"https://doi.org/10.1108/14635781211256747","pdf_url":null,"source":{"id":"https://openalex.org/S136999626","display_name":"Journal of Property Investment and Finance","issn_l":"1463-578X","issn":["1463-578X","1470-2002"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Property Investment &amp; Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100374954","display_name":"Jing Liu","orcid":"https://orcid.org/0000-0002-8774-6168","observed_orcids":["https://orcid.org/0000-0002-8774-6168","https://orcid.org/0000-0001-9929-4632"]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Jing Liu","raw_affiliation_strings":["Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia","institution_ids":["https://openalex.org/I99043593"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047126813","display_name":"Geoffrey F. Loudon","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Geoffrey Loudon","raw_affiliation_strings":["Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia","Department of Applied Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia","institution_ids":["https://openalex.org/I99043593"]},{"raw_affiliation_string":"Department of Applied Finance","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053747449","display_name":"George Milunovich","orcid":"https://orcid.org/0000-0003-0697-0684","observed_orcids":["https://orcid.org/0000-0003-0697-0684"]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"George Milunovich","raw_affiliation_strings":["Department of Economics, Macquarie University, Sydney, Australia","Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Macquarie University, Sydney, Australia","institution_ids":["https://openalex.org/I99043593"]},{"raw_affiliation_string":"Department of Economics","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I99043593"],"apc_list":null,"apc_paid":null,"fwci":3.1803,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.92813363,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"30","issue":"5","first_page":"473","last_page":"492"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.006099999882280827,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.9179999828338623},{"id":"https://openalex.org/keywords/dynamic-correlation","display_name":"dynamic correlation","score":0.7770000100135803},{"id":"https://openalex.org/keywords/inflation-rate","display_name":"inflation rate","score":0.6909999847412109},{"id":"https://openalex.org/keywords/credit-spreads","display_name":"credit spreads","score":0.6259999871253967},{"id":"https://openalex.org/keywords/currency-hedging","display_name":"currency hedging","score":0.6800000071525574},{"id":"https://openalex.org/keywords/diversification-benefits","display_name":"diversification benefits","score":0.7170000076293945},{"id":"https://openalex.org/keywords/dcc-garch","display_name":"DCC-GARCH","score":0.5809999704360962}],"concepts":[{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.8728771209716797},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6429051160812378},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.6120920777320862},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5954031944274902},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5758726596832275},{"id":"https://openalex.org/C6422946","wikidata":"https://www.wikidata.org/wiki/Q857354","display_name":"Panel data","level":2,"score":0.5629221200942993},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5394808053970337},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.5272946357727051},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.48557111620903015},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.4516899883747101},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4368245005607605},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.322609543800354},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.2668529152870178},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.20332801342010498},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/14635781211256747","doi":"https://doi.org/10.1108/14635781211256747","is_oa":false,"landing_page_url":"https://doi.org/10.1108/14635781211256747","pdf_url":null,"source":{"id":"https://openalex.org/S136999626","display_name":"Journal of Property Investment and Finance","issn_l":"1463-578X","issn":["1463-578X","1470-2002"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Property Investment &amp; Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W1500351822","https://openalex.org/W1530995593","https://openalex.org/W1588163064","https://openalex.org/W1727659491","https://openalex.org/W1853002300","https://openalex.org/W1879869234","https://openalex.org/W1975201751","https://openalex.org/W1975994995","https://openalex.org/W1981190992","https://openalex.org/W1990928740","https://openalex.org/W1995238773","https://openalex.org/W1996258141","https://openalex.org/W2011621267","https://openalex.org/W2011637463","https://openalex.org/W2017855637","https://openalex.org/W2018364810","https://openalex.org/W2025899806","https://openalex.org/W2047787463","https://openalex.org/W2066357778","https://openalex.org/W2084256795","https://openalex.org/W2088287620","https://openalex.org/W2091632768","https://openalex.org/W2095723024","https://openalex.org/W2100846312","https://openalex.org/W2120641249","https://openalex.org/W2123188811","https://openalex.org/W2127493068","https://openalex.org/W2130613857","https://openalex.org/W2137034394","https://openalex.org/W2144670019","https://openalex.org/W2158820974","https://openalex.org/W2162938836","https://openalex.org/W2181640556","https://openalex.org/W3021739894","https://openalex.org/W3122275744","https://openalex.org/W3122357153","https://openalex.org/W3125611017"],"related_works":["https://openalex.org/W99989561","https://openalex.org/W2023966320","https://openalex.org/W2410170186","https://openalex.org/W2257956936","https://openalex.org/W4239659979","https://openalex.org/W2983291865","https://openalex.org/W3196250499","https://openalex.org/W3190659379","https://openalex.org/W1562569463","https://openalex.org/W2543354173"],"abstract_inverted_index":{"Purpose":[0],"The":[1,87,119,383],"purpose":[2],"of":[3,27,53,95,104,159,204,225,263,286,308,316,333,339,364,373],"this":[4,361],"paper":[5],"is":[6,139,171,213,362],"to":[7,38,111,235,279,305,321,357,368],"study":[8],"correlations":[9,46,70,84,88,152,176,352],"between":[10,113,353,377],"the":[11,20,23,36,40,83,142,157,181,192,196,205,223,226,232,256,259,277,280,298,306,314,330,334,337,358,365,370,374,378,405,408],"national":[12,160,248],"real":[13,244,290],"estate":[14,245,291],"investment":[15],"trusts":[16],"(REIT)":[17],"markets":[18,249,294],"in":[19,44,81,109,141,156,180,222,243,289,349,407],"USA":[21],"and":[22,32,34,56,62,85,98,102,115,163,186,261,267,380,389],"four":[24,96,143],"Asia\u2010Pacific":[25,381],"countries":[26],"Australia,":[28],"Hong":[29],"Kong,":[30],"Japan":[31],"Singapore,":[33],"document":[35],"extent":[37],"which":[39],"time":[41,137,331],"variation":[42,138],"present":[43],"these":[45],"can":[47],"be":[48],"explained":[49],"from":[50,231,318],"a":[51,74,93,122,284],"set":[52,94,285],"11":[54],"economic":[55,97],"financial":[57,100],"factors.":[58],"Both":[59],"US":[60,182,233,319,379],"dollar":[61,234,320],"local":[63,236,322],"currency":[64,237,309,323],"returns":[65,325],"are":[66,71,89,107,209,218],"used.":[67],"Design/methodology/approach":[68],"Time\u2010varying":[69],"estimated":[72],"using":[73],"DCC\u2010GARCH":[75],"model":[76],"that":[77,150,174,216,313,399],"allows":[78],"for":[79,131],"asymmetries":[80],"both":[82],"volatilities.":[86],"then":[90],"regressed":[91],"on":[92,404],"seven":[99],"factors,":[101],"tests":[103],"statistical":[105],"significance":[106],"conducted":[108],"order":[110],"discriminate":[112],"relevant":[114],"irrelevant":[116],"explanatory":[117,340],"variables.":[118,341],"authors":[120],"estimate":[121],"fixed\u2010effects":[123],"panel":[124,197],"regression":[125],"as":[126,128],"well":[127],"individual":[129,200],"regressions":[130,148,201],"each":[132],"dynamic":[133],"correlation.":[134],"Findings":[135],"Significant":[136],"found":[140,173,215],"REIT":[144,151,175,355,409],"correlation":[145,227],"series.":[146],"Panel":[147],"suggest":[149],"rise":[153],"with":[154,164,178],"increases":[155,179],"interaction":[158],"inflation":[161,268],"rates":[162,269],"higher":[165],"global":[166,187,264],"equity":[167,188,265],"market":[168,189],"uncertainty.":[169],"It":[170,212,311],"also":[172,214],"fall":[177],"default":[183],"risk":[184,390],"premium":[185],"volume.":[190],"Relaxing":[191],"structure":[193],"imposed":[194],"by":[195,395],"data":[198],"model,":[199],"confirm":[202],"most":[203],"results,":[206],"although":[207],"there":[208,217],"some":[210],"exceptions.":[211],"no":[219],"substantial":[220],"differences":[221],"dynamics":[224,332],"coefficients":[228],"when":[229,270],"switching":[230,317],"denominated":[238,324],"returns.":[239],"Practical":[240],"implications":[241],"Investors":[242],"securities":[246],"across":[247,292],"should":[250],"take":[251],"into":[252],"account":[253],"information":[254],"about":[255],"credit":[257],"spread,":[258],"volatility":[260],"volume":[262],"markets,":[266,356],"modeling":[271],"correlations.":[272],"These":[273],"variables":[274],"may":[275,295],"alert":[276],"investors":[278,388],"possibility":[281],"that,":[282],"under":[283],"circumstances,":[287],"investing":[288],"different":[293],"not":[296,327],"provide":[297],"expected":[299],"diversification":[300],"benefits.":[301],"Another":[302],"implication":[303],"relates":[304],"impact":[307,315],"hedging.":[310],"appears":[312],"does":[326],"substantially":[328],"change":[329,406],"correlations,":[335,410],"or":[336],"importance":[338],"Originality/value":[342],"Although":[343],"considerable":[344],"progress":[345],"has":[346],"been":[347],"made":[348],"modelling":[350],"time\u2010varying":[351],"various":[354],"authors'":[359],"knowledge,":[360],"one":[363],"first":[366],"papers":[367],"investigate":[369],"underlying":[371],"causes":[372],"co\u2010movement,":[375],"especially":[376],"markets.":[382],"paper's":[384],"results":[385],"will":[386],"help":[387],"managers":[391],"make":[392],"better":[393],"choices":[394],"identifying":[396],"those":[397],"factors":[398],"have":[400],"more":[401,413],"systematic":[402],"effects":[403],"rather":[411],"than":[412],"transient":[414],"forces.":[415]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
