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Frequency volatility connectedness and market integration in international real estate investment trusts

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  • Liow, Kim Hiang
  • Song, Jeong Seop

Abstract

Within the context of market integration, this paper explores the frequency connectedness of volatilities across 14 international REIT markets over the last ten years. Following Barunik and Krehlik (2018), we determine whether the REIT volatility connectedness results from short-, medium- or long-term impacts of shocks can reveal the underlying frequency sources of volatility connectedness. We also identify the systematic risk source that the US REIT market played an influential role for volatility connectedness across global REITs. Our results are valuable for policy maker to guide the future development and consolidation of younger REIT markets over time.

Suggested Citation

  • Liow, Kim Hiang & Song, Jeong Seop, 2022. "Frequency volatility connectedness and market integration in international real estate investment trusts," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002464
    DOI: 10.1016/j.frl.2021.102174
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    Cited by:

    1. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Kim Hiang Liow, 2022. "Exploring a Three-Factor Dependence Structure of Conditional Volatilities: Some Quantile Regression Evidence from Real Estate Investment Trusts," JRFM, MDPI, vol. 15(6), pages 1-13, May.
    3. 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).

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