Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility.The paper examines the factors that...

Purpose – Mergers and acquisitions in the real estate investment trust (REIT) sector have been studied in distinct periods and locations, often leading to findings which are relevant only for the period and/or location investigated. The purpose of this paper is to examine the merger and...

Purpose – The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the real estate investment trusts (REITs) for four countries (Australia, Japan, Taiwan and the USA) before and after the 2007 financial crisis. Design/methodology/approach – The study uses an...

Purpose – The purpose of this paper is to study correlations between the national real estate investment trusts (REIT) markets in the USA and the four Asia‐Pacific countries of Australia, Hong Kong, Japan and Singapore, and document the extent to which the time variation present in these...

Purpose – The purpose of this paper is to use Australian Real Estate Investment Trust (A‐REIT) data to empirically examine potential influencing factors on A‐REITs becoming a bidder or a target in the mergers and acquisitions (M&A) area. Design/methodology/approach – This study uses...