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Dynamic tail risk connectedness among green REITs, sustainability products, and fossil energy assets under external shocks

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  • Hau, Liya
  • Ge, Yao
  • Zhang, Yongmin
  • Zhu, Weineng

Abstract

This study employed a hybrid AS-CAViaR-TVP-VAR connectedness model to analyse the tail risk interconnectedness among green REITs, sustainability products, and fossil energy assets. Using daily data on twelve assets from January 1, 2015, to January 12, 2024, we found that the tail risk connectedness between green REITs and other markets intensifies under external shocks. Notably, green REITs in the Asia–Pacific region exhibited increased volatility during critical events and emerged as prominent risk receptors, whereas green REITs in the US transitioned from being risk receptors to risk propagators. These insights have substantial implications for policy development and investment strategy formulation.

Suggested Citation

  • Hau, Liya & Ge, Yao & Zhang, Yongmin & Zhu, Weineng, 2025. "Dynamic tail risk connectedness among green REITs, sustainability products, and fossil energy assets under external shocks," Finance Research Letters, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001291
    DOI: 10.1016/j.frl.2025.106864
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