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Direct real estate, securitized real estate, and equity market dynamic connectedness

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  • Thi Thu Ha Nguyen
  • Faruk Balli
  • Hatice Ozer Balli
  • Iqbal Syed

Abstract

The paper’s objective is to scrutinize the dynamics of connectedness across returns of three markets, including direct real estate, securitized real estate, and stock markets. Through the connectedness index approach, the results indicate a significant degree of connectedness, which increases sharply during the recent global financial crisis. The net directional connectedness is volatile and time-dependent, yet the dominant shock transmitting role of the securitized real estate is pronounced during the GFC. While the direct real estate market plays as a dominant shock information receiver from the markets of securitized real estate and stocks in Australia, Canada, France, and the UK, it appears to shape other markets in the context of the US. Given the fact that the securitized real state is considered as the hybrid of the conventional real estate market and the stock market, we further note that the securitized real estate is more linked with its underlying market. Several implications for investors and policymakers are discussed.

Suggested Citation

  • Thi Thu Ha Nguyen & Faruk Balli & Hatice Ozer Balli & Iqbal Syed, 2022. "Direct real estate, securitized real estate, and equity market dynamic connectedness," Applied Economics, Taylor & Francis Journals, vol. 54(23), pages 2658-2677, May.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:23:p:2658-2677
    DOI: 10.1080/00036846.2021.1994125
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    Cited by:

    1. Xinyi Li & Yuhong Zhang & Xing Zhang & Runtang Gu, 2023. "Analyzing the Relationship between the Features of Direct Real Estate Assets and Their Corresponding Australian—REITs," IJFS, MDPI, vol. 11(1), pages 1-15, February.

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