Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis

Qiang Ji, Hardik Marfatia and Rangan Gupta

No 201815, Working Papers from University of Pretoria, Department of Economics

Abstract: In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REITs). Our novel approach is simple and yet flexible enough to accommodate the nature and extent of information spillover among several components of the global housing network. For a network of nine leading industrial economies, we unveil static and time-varying information spillover of REIT returns using total transfer entropy, pairwise net transfer entropy and directional (“From”, “To”) transfer entropy. Evidence suggests that the greatest pairwise transfer entropy is from the US to Australia, whereas France, the Netherlands, New Zealand and Singapore are the largest information recipients in the network. The time-varying evolution of total transfer entropy also exhibits a declining trend, supporting the decoupling hypothesis for the global housing market network. The extreme value analysis shows the changing role of US and UK housing markets.

Keywords: REIT; Entropy transfer; Information spillover; Market integration (search for similar items in EconPapers)
JEL-codes: G14 R30 R33 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2018-02
New Economics Papers: this item is included in nep-sea and nep-ure
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Citations: View citations in EconPapers (22)

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Journal Article: Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis (2018)
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