IDEAS home Printed from https://ideas.repec.org/a/eee/quaeco/v92y2023icp215-229.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062976923001175
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.qref.2023.10.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:quaeco:v:92:y:2023:i:c:p:215-229. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620167 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.