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Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications

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  • Abdullah, Mohammad
  • Adeabah, David
  • Abakah, Emmanuel Joel Aikins
  • Lee, Chi-Chuan

Abstract

This paper examines extreme return and volatility connectedness among real estate tokens, REITs, and other assets while accounting for global uncertainties’ effect on connectedness and portfolio implications. The results indicate that the S&P 500 and REITs are the only assets with connectedness in a normal market, while extreme quantile results indicate higher network transmission. There is also evidence of a time-varying upsurge in connectedness, suggesting an event dependency effect. The results also indicate a significantly positive impact from all global uncertainty factors on a bear market. Finally, real estate tokens were found to be the cheapest hedge for oil and Bitcoin.

Suggested Citation

  • Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004348
    DOI: 10.1016/j.frl.2023.104062
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    2. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).

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