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Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Author

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  • Yousaf, Imran
  • Assaf, Ata
  • Demir, Ender

Abstract

In this paper, we analyze the quantile return connectedness between the real estate tokens (PROPY, LATOKEN, ATLANT, IHT Real Estate Protocol) and other asset classes, namely oil, gold, bond, currency, equity, Bitcoin, and real estate investment trust for the period August 27, 2018, to April 25, 2022. We perform the connectedness at the mean, median, extreme lower quantile, and extreme upper quantile levels. At the mean and median levels, we find a low level of connectedness between real estate tokens and REIT, and a relatively higher level of connectedness with BTC. This highlights the importance of BTC contributing a high shock of spillover to the whole system, followed by equity and then oil markets. Then, extending our analysis to the extreme lower and upper quantiles, we uncover similar results, yet, this connectedness increases in extreme market conditions compared to the median level. Finally, we provide some implications for investment and portfolio diversification benefits using these assets.

Suggested Citation

  • Yousaf, Imran & Assaf, Ata & Demir, Ender, 2024. "Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach," Research in International Business and Finance, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000308
    DOI: 10.1016/j.ribaf.2024.102238
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    More about this item

    Keywords

    Connectedness; Real estate tokens; Bitcoin; Quantile;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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