This investigation adopts the autoregressive conditional jump intensity model proposed by Chan and Maheu (2002) to capture the characteristics of the time-varying and jump phenomena, and investigates the influence of expected- and unexpected crude oil fluctuations on Real Estate Investment Trusts (REITs). Furthermore, this study re-examines the relationship between REIT returns and other markets as bond and stock market. The analytical results reveal that REIT returns rise in response to increase in expected oil price and provide a good partial hedge. However, it also implicates that REIT returns have a downside risk during the period of deflation. Additionally, stock market returns reflect relevant information about REITs or real estate, and REITs are negative sensitivity to changes in interest rates, and are more sensitive in the long term than in the short term.
International Research Journal of Finance and Economics 33, pp.120-133