Frequency volatility connectedness and market integration in international real estate investment trusts

Kim Hiang Liow*, Jeongseop Song

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    Within the context of market integration, this paper explores the frequency connectedness of volatilities across 14 international REIT markets over the last ten years. Following Barunik and Krehlik (2018), we determine whether the REIT volatility connectedness results from short-, medium- or long-term impacts of shocks can reveal the underlying frequency sources of volatility connectedness. We also identify the systematic risk source that the US REIT market played an influential role for volatility connectedness across global REITs. Our results are valuable for policy maker to guide the future development and consolidation of younger REIT markets over time.
    Original languageEnglish
    Article number102174
    Number of pages10
    JournalFinance Research Letters
    Volume45
    Early online date19 Feb 2022
    DOIs
    Publication statusPublished - 1 Mar 2022

    Keywords

    • Real estate investment trusts
    • Dynamic volatility connectedness
    • time-frequency domains
    • Short-run, medium-term and long-run cycles
    • Net total directional connectedness
    • Nonlinear Granger causality relationships

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