Switching connectedness between real estate investment trusts, oil, and gold markets

Walid Mensi, Juan Reboredo, Andrea Ugolini and Xuan Vinh Vo

Finance Research Letters, 2022, vol. 49, issue C

Abstract: We study price-switching spillovers between real estate investment trusts (REITs), oil, and gold markets by considering high- and low-volatility regimes as described by Markov-switching vector autoregression. Empirical results for different REIT markets indicate that gold (oil) has a lower (higher) impact on REITs in a high-volatility regime than in a low-volatility regime. Furthermore, in a low-volatility regime, gold and oil are net spillover contributors to REITs, while in a high-volatility regime, REITs are net spillover contributors. Price spillovers are time-varying, and climb during the early COVID-19 pandemic period and in early 2022.

Keywords: REITs; Oil; Gold; Connectedness; Price spillovers; MS-VAR model (search for similar items in EconPapers)
JEL-codes: C32 G15 R30 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003361

DOI: 10.1016/j.frl.2022.103112

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