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Price and volatility linkages between international REITs and oil markets

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  • Nazlioglu, Saban
  • Gupta, Rangan
  • Gormus, Alper
  • Soytas, Ugur

Abstract

This study analyzes price and volatility transmissions between nineteen real estate investment trusts (REITs) and the oil markets. The REITs data represents a variety of countries at different stages of their development and the expanded analytical approach includes accounting for structural shifts as gradual processes – as opposed to strictly abrupt processes typically assumed in the literature. Oil prices are found to primarily predict REITs prices in mature REITs markets, but the feedback from REITs to oil prices is weak. From the perspective of volatility, strong evidence of bidirectional transmission in majority of the markets is observed. Our results are in general robust to a shorter common sample period of the various countries. This study further demonstrates the importance of accounting for gradual (smooth) structural shifts for price transmission analysis.

Suggested Citation

  • Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020. "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, vol. 88(C).
  • Handle: RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195
    DOI: 10.1016/j.eneco.2020.104779
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    3. Walid Mensi & Zhuhua Jiang & Xuan Vinh Vo & Seong‐Min Yoon, 2023. "Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets," Australian Economic Papers, Wiley Blackwell, vol. 62(4), pages 597-615, December.
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    5. Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021. "House price synchronization across the US states: The role of structural oil shocks," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Mensi, Walid & Nekhili, Ramzi & Kang, Sang Hoon, 2022. "Quantile connectedness and spillovers analysis between oil and international REIT markets," Finance Research Letters, Elsevier, vol. 48(C).
    7. Gupta, Rangan & Sheng, Xin & van Eyden, Reneé & Wohar, Mark E., 2021. "The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence," Finance Research Letters, Elsevier, vol. 43(C).
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    9. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    10. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    11. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
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    More about this item

    Keywords

    REITs and oil markets; Price and volatility spillovers; Structural changes;
    All these keywords.

    JEL classification:

    • 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
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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