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Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets

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  • Jose E. Gomez-Gonzalez
  • Jorge Hirs-Garzon

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. We use LASSO methods to include many markets in our analysis. Our findings indicate that connectedness between these markets is high. On average three REIT markets and one stock market are net volatility transmitters. Considerable time variation is observed. Spillovers are substantially higher during crises. While stock markets were the main volatility transmitters during the Subprime Financial Crisis, REIT markets have become major volatility transmitters during the last decade. Our results have important implications for global investors.

Suggested Citation

  • Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon, 2021. "Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 27(1), pages 20-28, January.
    • Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:20-28
    DOI: 10.1080/10835547.2021.1981569
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    References listed on IDEAS

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    1. Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
    2. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
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    Cited by:

    1. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).

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    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • 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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