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Extreme risk spillover among international REIT markets

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  • Jian Zhou

Abstract

This article studies extreme risk spillovers among international Real Estate Investment Trust (REIT) markets. We apply the procedure of Granger causality in risk to six major markets. Our full-sample (1991--2010) results suggest that strong risk spillovers, which could be unidirectional or bidirectional, are not universal across markets. Moreover, downside spillovers are found generally more common and stronger than upside spillovers. Further analyses based on three subsamples indicate that risk spillover has become more frequent and stronger over time. This adds onto the evidence of increasing financial integration. Taken together, our findings have important implications for international portfolio diversification and risk management.

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  • Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:91-103
    DOI: 10.1080/09603107.2012.709600
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    2. Sing, Tien Foo & Wang, Long, 2021. "Spillovers of Non-Fundamental Risks: The Tale of Two Securitized Real Estate Markets," International Real Estate Review, Global Social Science Institute, vol. 24(2), pages 185-220.
    3. 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).
    4. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
    5. Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.

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