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REITs and Market Microstructure: A Comprehensive Analysis of Market Quality by Pawan Jain; Mark Sunderman; K. Janean Westby-Gibson is a Economics, Econometrics and Finance article available to read on EtoBox.

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Pawa n J a in , M a rk S u n d e rma n, a nd K . J a ne an We st b y -Gib s o n ## A b s t r a c t In this study, we analyze the market quality differences, in terms of liquidity and volatility, between real estate investment trusts (REITs) and non-REIT common stocks. The recent financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than non-REITs for the pre-crisis period. These relations reverse during the post-crisis period with REITs becoming more liquid, less volatile, and cheaper to trade than non-REITs. Further, we document that post-crisis trading interest in REITs has increased significantly as reflected by increased volume, number of trades, and number of quotes.

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Author

Pawan Jain; Mark Sunderman; K. Janean Westby-Gibson

Publisher

Informa UK Limited

Published

2017

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)