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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: R30 R33 G14 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis (2018)
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Handle: RePEc:eee:ecofin:v:46:y:2018:i:c:p:103-113