Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications

Abdullah, Mohammad; Adeabah, David; Abakah, Emmanuel Joel Aikins; Lee, Chi‐Chuan

doi:10.1016/j.frl.2023.104062

Cited by 20 publications

(2 citation statements)

References 36 publications

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“…Diebold and Yilmaz [19][20][21] introduced a method to quantitatively measure spillover effects through connectedness based on the variance decomposition of vector autoregression forecast errors. Another strand of the literature utilizes the Diebold and Yilmaz [19][20][21] approach and its various extensions to study bilateral and multilateral spillovers between different assets in the commodity and stock markets [10,17,24,25,32,[47][48][49][50][51][52][53][54]. Additionally, with the decline in diversified returns in the stock market, equity investors have become more proactive in seeking hedging positions in commodity assets during turbulent periods.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets

Lou,

Xiao,

Lian

2024

PLoS ONE

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This study investigates the dynamic and asymmetric propagation of return spillovers between sectoral commodities and industry stock markets in China. Using a daily dataset from February 2007 to July 2022, we employ a time-varying vector autoregressive (TVP-VAR) model to examine the asymmetric return spillovers and dynamic connectedness across sectors. The results reveal significant time-varying spillovers among these sectors, with the industry stocks acting as the primary transmitter of information to the commodity market. Materials, energy, and industrials stock sectors contribute significantly to these spillovers due to their close ties to commodity production and processing. The study also identifies significant asymmetric spillovers with bad returns dominating, influenced by major economic and political events such as the 2008 global financial crisis, the 2015 Chinese stock market crisis, the COVID-19 pandemic, and the Russia-Ukraine war. Furthermore, our study highlights the unique dynamics within the Chinese market, where net information spillovers from the stock market to commodities drive the financialization process, which differs from the bidirectional commodity financialization observed in other markets. Finally, portfolio analysis reveals that the minimum connectedness portfolio outperforms other approaches and effectively reflects asymmetries. Understanding these dynamics and sectoral heterogeneities has important implications for risk management, policy development, and trading practices.

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Section: Brief Literature Reviewmentioning

confidence: 99%

Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets

Lou,

Xiao,

Lian

2024

PLoS ONE

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“…The spillovers among the markets under study are dynamic and rise during the early COVID-19 pandemic and Russia-Ukraine tension periods. Abdullah et al (2023) examine the impact of uncertainty indexes on the linkages between real estate tokens, REITs, and other assets and show a significant connectedness between US stock and REIT markets during normal market conditions. Conversely, they show a high connectedness during bear and bull market conditions.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

Mensi,

Jiang,

et al. 2023

Australian Economic Papers

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How do price fluctuations in the real estate investment trust (REIT) market relate to price fluctuations in other financial markets, such as the stock and commodity markets? In order to grasper this topic, we examine the transmission of shocks and volatility spillover among the REIT, stock, and oil markets using a trivariate asymmetric GARCH model with BEKK specification. The empirical results indicate that there exists shock transmission from REIT to the oil markets and from the stock market to both the oil and REIT markets. The results also show that the volatility of the REIT market is transmitted to both oil and stock markets. Conditional correlations among the volatility of these markets are dynamic and crisis‐sensitive. The correlations are positive between the volatility of stock and both REIT and oil markets. However, equity investors should be more interested in adding REIT assets to equity portfolios than oil futures to minimise risk, without reducing expected returns.

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What investors need to know about forecasting stock market return volatility using artificial intelligence

Tiwari,

Abakah,

Abdullah

et al. 2023

Reference Module in Social Sciences

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Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications

Cited by 20 publications

References 36 publications

Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets

Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

What investors need to know about forecasting stock market return volatility using artificial intelligence

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