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Quantile connectedness and spillovers analysis between oil and international REIT markets

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  • Mensi, Walid
  • Nekhili, Ramzi
  • Kang, Sang Hoon

Abstract

We examine the quantile return spillovers between oil and international REIT markets (Australia, Belgium, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, New Zealand, Singapore, UK, and US). Using a quantile connectedness approach, we show that the extreme oil–REIT nexus is heterogeneous and asymmetric. The return spillover is stronger at lower quantiles. Furthermore, the oil market acts as a net transmitter of return spillovers to the REIT markets during times of downside return and a net receiver of spillovers during upside returns. The hedging strategy is expensive during COVID-19, with oil offering the highest hedging effectiveness for Hong Kong.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001775
    DOI: 10.1016/j.frl.2022.102895
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    Cited by:

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    2. 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.
    3. Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
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    5. 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).
    6. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
    7. Jareño, Francisco & Yousaf, Imran, 2023. "Artificial intelligence-based tokens: Fresh evidence of connectedness with artificial intelligence-based equities," International Review of Financial Analysis, Elsevier, vol. 89(C).
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    More about this item

    Keywords

    REIT markets; Oil; Spillovers; Quantiles; COVID-19; G14; F36; C40;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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