Information spillovers in Hong Kong REITs and related asset markets

Jian Liu, Yan Chen, Shufei Liao, Cheng Cheng and Yongge Fu

The Quarterly Review of Economics and Finance, 2023, vol. 92, issue C, 215-229

Abstract: This study examines information spillovers among Hong Kong (HK) REITs, major HK financial markets, major Chinese Mainland financial markets, and the VIX index. Our results reveal that time-varying spillover effects peak during crises, notably during the COVID-19 pandemic. The HK REITs market consistently receives return and volatility spillover effects from the HK stock market and real estate market. Since 2014, the HK REITs market has also been a significant recipient of volatility spillovers from Chinese Mainland stock and real estate markets. Additionally, the VIX index plays a driving role in the risk contagion effect of HK REITs. These findings inform investors in adjusting strategies, optimizing portfolios, and mitigating financial risks.

Keywords: REITs; Spillover index; Return spillovers; Volatility spillovers (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976923001175
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:92:y:2023:i:c:p:215-229

DOI: 10.1016/j.qref.2023.10.006

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().