Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis

Qiang Ji, Hardik Marfatia and Rangan Gupta

The North American Journal of Economics and Finance, 2018, vol. 46, issue C, 103-113

Abstract: In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REIT). 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 for the integration of global housing market during our sample period.

Keywords: REIT; Transfer entropy; Information spillover; Market integration (search for similar items in EconPapers)
JEL-codes: G14 R30 R33 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818300810
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis (2018)
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:ecofin:v:46:y:2018:i:c:p:103-113

DOI: 10.1016/j.najef.2018.04.002

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

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