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Connectedness structure of Pan-European Equity REITs

Author

Listed:
  • Naoufal Nassili
  • Arnaud Simon
  • Richard Malle

    (LIRSA-CRC - LIRSA. Centre de recherche en comptabilité - LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM] - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

Abstract

This paper examines the interconnectedness among European equity REITs (Real Estate Investment Trusts) due to increased financialization of the real estate sector and European economic integration. It uses two models, Diebold and Yilmaz's generalised variance decomposition and Barunik and Krehlik's time-frequency dynamics framework. The study covers a sample of 42 Pan-European REITs over a 15-year period from 2004 to 2018 and finds that the connectedness among REITs is influenced by the geographical location and performance of commercial real estate sub-sectors. The dynamic analysis shows that the source of shocks does not determine the persistence, but rather how the markets interpret the shocks during high-frequency intervals. The paper concludes that the connectedness structure among REITs reflects uncertainty interaction, with some effects observed mainly at high frequency levels, and few unexpected shocks found in the long-term stability of REIT returns.

Suggested Citation

  • Naoufal Nassili & Arnaud Simon & Richard Malle, 2023. "Connectedness structure of Pan-European Equity REITs," Post-Print hal-04006421, HAL.
    • Handle: RePEc:hal:journl:hal-04006421
    DOI: 10.1080/09599916.2023.2171305
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