RESEARCH ARTICLE
The impact of dividend payout policies on real estate market diversification
Metin Ilbasmıs,
Marc Gronwald,
Yuan Zhao,
Metin Ilbasmıs
Faculty of Economics and Administrative Sciences, Aksaray University, Aksaray, Turkey
Search for more papers by this authorCorresponding Author
Marc Gronwald
International Business School Suzhou; CESifo and ifo Institute, Xi'an Jiaotong-Liverpool University, Suzhou, China
Correspondence
Marc Gronwald, Xi'an Jiaotong-Liverpool University, International Business School Suzhou, CESifo and ifo Institute, Suzhou, China.
Email: [email protected]
Search for more papers by this authorYuan Zhao
Henley Business School, University of Reading, Reading, UK
Search for more papers by this authorMetin Ilbasmıs,
Marc Gronwald,
Yuan Zhao,
Metin Ilbasmıs
Faculty of Economics and Administrative Sciences, Aksaray University, Aksaray, Turkey
Search for more papers by this authorCorresponding Author
Marc Gronwald
International Business School Suzhou; CESifo and ifo Institute, Xi'an Jiaotong-Liverpool University, Suzhou, China
Correspondence
Marc Gronwald, Xi'an Jiaotong-Liverpool University, International Business School Suzhou, CESifo and ifo Institute, Suzhou, China.
Email: [email protected]
Search for more papers by this authorYuan Zhao
Henley Business School, University of Reading, Reading, UK
Search for more papers by this authorAbstract
An asymmetric DCC – GJR – GARCH model is applied to the Turkish and US REIT markets in order to estimate the time-varying correlations between the REIT and stock markets. Using these estimated correlations, we investigate the impact of dividend payouts on the diversification potential of REITs for stock market investors. Our choice of the Turkish REIT market is based on its unique REIT dividend policy, while US data provide a benchmark for comparison. This study has a number of motivations and contributions that make it a worthwhile undertaking. First, we document that REIT dividend policy is related to the correlation between REIT and stock markets. Dividend paying REITs have lower correlations with stock markets, which makes the REIT market a viable portfolio diversifier. Second, we confirm that REITs and stock prices cointegrated more closely due to the 2008 global financial crisis. We additionally document that a similar effect was also present in the correlation during the global Covid-19 pandemic crisis. It appears that REIT and stock markets become more correlated during times of financial turmoil and diversification opportunities are diminished. Finally, we document that there is a long-term trend in the time-varying correlations between REIT and stock markets. Türkiye has been experiencing a negative trend in this regard, while the US has been experiencing a positive trend.
CONFLICT OF INTEREST STATEMENT
The authors declare no conflict of interest.
Open Research
DATA AVAILABILITY STATEMENT
The data that support the findings of this study are available from the corresponding author upon reasonable request.
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