dc.contributor.author |
Lesame, Keagile
|
|
dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Gabauer, David
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2022-02-22T11:25:24Z |
|
dc.date.available |
2022-02-22T11:25:24Z |
|
dc.date.issued |
2021-08-14 |
|
dc.description.abstract |
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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
am2022 |
en_ZA |
dc.description.uri |
https://www.mdpi.com/journal/entropy |
en_ZA |
dc.identifier.citation |
Lesame, K.; Bouri, E.;
Gabauer, D.; Gupta, R. On the
Dynamics of International
Real-Estate-Investment
Trust-Propagation Mechanisms:
Evidence from Time-Varying Return
and Volatility Connectedness
Measures. Entropy 2021, 23, 1048.
https://DOI.org/10.3390/e23081048. |
en_ZA |
dc.identifier.issn |
1099-4300 (online) |
|
dc.identifier.other |
10.3390/e23081048 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/84142 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
MDPI |
en_ZA |
dc.rights |
© 2021 by the authors.
Licensee MDPI, Basel, Switzerland.
This article is an open access article
distributed under the terms and
conditions of the Creative Commons
Attribution (CC BY) license. |
en_ZA |
dc.subject |
Dynamic connectedness |
en_ZA |
dc.subject |
Real estate investment trust (REIT) |
en_ZA |
dc.subject |
Time-varying parameter vector autoregressive (TVP-VAR) |
en_ZA |
dc.title |
On the dynamics of international real-estate-investment trust-propagation mechanisms : evidence from time-varying return and volatility connectedness measures |
en_ZA |
dc.type |
Article |
en_ZA |