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Information spillovers in Hong Kong REITs and related asset markets

Author

Listed:
  • Liu, Jian
  • Chen, Yan
  • Liao, Shufei
  • Cheng, Cheng
  • Fu, Yongge

Abstract

This study examines information spillovers among Hong Kong (HK) REITs, major HK financial markets, major Chinese Mainland financial markets, and the VIX index. Our results reveal that time-varying spillover effects peak during crises, notably during the COVID-19 pandemic. The HK REITs market consistently receives return and volatility spillover effects from the HK stock market and real estate market. Since 2014, the HK REITs market has also been a significant recipient of volatility spillovers from Chinese Mainland stock and real estate markets. Additionally, the VIX index plays a driving role in the risk contagion effect of HK REITs. These findings inform investors in adjusting strategies, optimizing portfolios, and mitigating financial risks.

Suggested Citation

  • Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.
    • Handle: RePEc:eee:quaeco:v:92:y:2023:i:c:p:215-229
    DOI: 10.1016/j.qref.2023.10.006
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    More about this item

    Keywords

    REITs; Spillover index; Return spillovers; Volatility spillovers;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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