The impact of futures trade on the informational efficiency of the U.S. REIT market
Abstract This study examines the impact of futures trading on market efficiency and price discovery in the U.S. real estate investment trusts (REITs) market. First, we present inconclusive evidence regarding efficiency improvement in the U.S. REIT spot market following the introduction of futures tr...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00715-2 |
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| author | Kwangwon Ahn Hanwool Jang Minhyuk Jeong Sungbin Sohn |
| author_facet | Kwangwon Ahn Hanwool Jang Minhyuk Jeong Sungbin Sohn |
| author_sort | Kwangwon Ahn |
| collection | DOAJ |
| description | Abstract This study examines the impact of futures trading on market efficiency and price discovery in the U.S. real estate investment trusts (REITs) market. First, we present inconclusive evidence regarding efficiency improvement in the U.S. REIT spot market following the introduction of futures trading. To investigate the interplay between spot and futures markets, we analyze their respective roles in price discovery and find that, unlike in stock and bond markets, the spot market predominantly exhibits price leadership in the U.S. REITs market, despite the growing market size of futures. We find evidence that the limited role of futures in price discovery is associated with an increase in speculative demand, which outweighs hedging pressure. These findings suggest that policymakers should carefully monitor investor trading motives in the U.S. REITs market and consider revising market regulations to enhance liquidity, ensuring that increased liquidity does not primarily result from heightened speculative demand. |
| format | Article |
| id | doaj-art-8474fa261473432496bb88a561b8d73b |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-8474fa261473432496bb88a561b8d73b2025-01-19T12:36:07ZengSpringerOpenFinancial Innovation2199-47302025-01-0111112410.1186/s40854-024-00715-2The impact of futures trade on the informational efficiency of the U.S. REIT marketKwangwon Ahn0Hanwool Jang1Minhyuk Jeong2Sungbin Sohn3Department of Industrial Engineering, Yonsei UniversityDepartment of Finance, Accounting and Risk, Glasgow Caledonian UniversityDepartment of Industrial Engineering, Yonsei UniversityCollege of Economics, Sogang UniversityAbstract This study examines the impact of futures trading on market efficiency and price discovery in the U.S. real estate investment trusts (REITs) market. First, we present inconclusive evidence regarding efficiency improvement in the U.S. REIT spot market following the introduction of futures trading. To investigate the interplay between spot and futures markets, we analyze their respective roles in price discovery and find that, unlike in stock and bond markets, the spot market predominantly exhibits price leadership in the U.S. REITs market, despite the growing market size of futures. We find evidence that the limited role of futures in price discovery is associated with an increase in speculative demand, which outweighs hedging pressure. These findings suggest that policymakers should carefully monitor investor trading motives in the U.S. REITs market and consider revising market regulations to enhance liquidity, ensuring that increased liquidity does not primarily result from heightened speculative demand.https://doi.org/10.1186/s40854-024-00715-2REIT marketMarket efficiencyPrice discovery |
| spellingShingle | Kwangwon Ahn Hanwool Jang Minhyuk Jeong Sungbin Sohn The impact of futures trade on the informational efficiency of the U.S. REIT market Financial Innovation REIT market Market efficiency Price discovery |
| title | The impact of futures trade on the informational efficiency of the U.S. REIT market |
| title_full | The impact of futures trade on the informational efficiency of the U.S. REIT market |
| title_fullStr | The impact of futures trade on the informational efficiency of the U.S. REIT market |
| title_full_unstemmed | The impact of futures trade on the informational efficiency of the U.S. REIT market |
| title_short | The impact of futures trade on the informational efficiency of the U.S. REIT market |
| title_sort | impact of futures trade on the informational efficiency of the u s reit market |
| topic | REIT market Market efficiency Price discovery |
| url | https://doi.org/10.1186/s40854-024-00715-2 |
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