On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

• Published in: Entropy (Basel, Switzerland) Vol. 23; no. 8; p. 1048
• Main Authors: Lesame, Keagile, Bouri, Elie, Gabauer, David, Gupta, Rangan
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 14.08.2021; MDPI
• Subjects: Bond markets; Coronaviruses; COVID-19; Disease transmission; dynamic connectedness; Equity; Estimates; International finance; Investments; Literature reviews; Pandemics; Performance evaluation; Pricing; Real estate; REITs; Securities markets; Stochastic models; Stock exchanges; TVP-VAR; Uncertainty; Volatility; Singapore; United Kingdom > UK; Hong Kong; Australia; United States > US; Japan
• ISSN: 1099-4300; 1099-4300
• DOI: 10.3390/e23081048

In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.