 Connectedness at extremes between real estate tokens and real estate stocksDavid Y. Aharon, Shoaib Ali and Mariem Brahim International Review of Financial Analysis, 2024, vol. 95, issue PB Abstract: We test the interconnectedness between returns on real estate (RE) crypto tokens and on RE stocks using a quantile vector autoregression (QVAR) methodology. Our main findings show that there is a strong dependence between RE tokens and RE stocks in the distributions of returns in the top and bottom quantiles, and a rather weaker correlation in the median quantile. From an investment perspective, the findings demonstrate that, contrary to the usual focus on the center of the general distribution of returns, RE tokens and RE stocks correlate most strongly at the tails of the distributions. For this reason, diversification benefits may be limited, and careful risk management and investment strategies should be employed to navigate this strong tail connection. Considering the limited diversification benefits at the extremes, investors should exercise caution and allocate resources to mitigate potential losses when RE crypto tokens and RE stocks experience extreme market movements. Keywords: Connectedness; Tokens; QVAR, hedge ratio; Real estate tokens, REITs (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003570 DOI: 10.1016/j.irfa.2024.103425 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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