dc.contributor.author |
Ji, Qiang
|
|
dc.contributor.author |
Marfatia, Hardik A.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2018-04-24T12:13:56Z |
|
dc.date.issued |
2018-11 |
|
dc.description.abstract |
In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REIT). Our novel approach is simple and yet flexible enough to accommodate the nature and extent of information spillover among several components of the global housing network. For a network of nine leading industrial economies, we unveil static and time-varying information spillover of REIT returns using total transfer entropy, pairwise net transfer entropy and directional (“From”, “To”) transfer entropy. Evidence suggests that the greatest pairwise transfer entropy is from the US to Australia, whereas France, the Netherlands, New Zealand and Singapore are the largest information recipients in the network. The time-varying evolution of total transfer entropy also exhibits a declining trend for the integration of global housing market during our sample period. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-11-01 |
|
dc.description.librarian |
hj2018 |
en_ZA |
dc.description.sponsorship |
The first author acknowledged the supports from the National Natural Science Foundation of China under Grant No. 71774152, No. 91546109 and Youth Innovation Promotion Association of Chinese Academy of Sciences (Grant: Y7X0231505). |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/ecofin |
en_ZA |
dc.identifier.citation |
Ji, Q., Marfatia, H. & Gupta, R. 2018, 'Information spillover across international real estate investment trusts: evidence from an entropy-based network analysis', North American Journal of Economics and Finance, vol. 46, pp. 103-113. |
en_ZA |
dc.identifier.issn |
1062-9408 (print) |
|
dc.identifier.issn |
1879-0860 (online) |
|
dc.identifier.other |
10.1016/j.najef.2018.04.002 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/64710 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 46, pp. 103-113. 2018. doi : 10.1016/j.najef.2018.04.002. |
en_ZA |
dc.subject |
Real estate investment trust (REIT) |
en_ZA |
dc.subject |
Market integration |
en_ZA |
dc.subject |
Information spillover |
en_ZA |
dc.subject |
Transfer entropy |
en_ZA |
dc.title |
Information spillover across international real estate investment trusts : evidence from an entropy-based network analysis |
en_ZA |
dc.type |
Postprint Article |
en_ZA |