Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets
Authors
Gomez-Gonzalez, Jose Eduardo
Hirs-Garzon, Jorge
Editor
Publication date
2020-06-03
Document language
eng
Publisher
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Abstract
We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets has increased importantly over time. On average stock markets are net transmitters and REITs markets are net receivers. Considerable time variation is observed. Spillovers are higher during crises and REITs were net spillover transmitters to stock markets during the Subprime Financial Crisis. Our results have important implications for global investors.
Description
Códigos JEL
G01 - Financial Crises, G15 - International Financial Markets, C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
item.page.subjectjelspa
Keywords
Spillovers, Market connectedness, REITs markets, Stock markets, LASSO methods
