The impact of dividend payout policies on real estate market diversification

Metin Ilbasmıs, Marc Gronwald*, Yuan Zhao

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
JournalInternational Journal of Finance and Economics
Publication statusAccepted/In press - 2024


  • correlations
  • diversification
  • dividend policy
  • structural break
  • trend
  • Turkish REITs


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