Quantile connectedness and spillovers analysis between oil and international REIT markets

Walid Mensi, Ramzi Nekhili and Sang Hoon Kang

Finance Research Letters, 2022, vol. 48, issue C

Abstract: We examine the quantile return spillovers between oil and international REIT markets (Australia, Belgium, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, New Zealand, Singapore, UK, and US). Using a quantile connectedness approach, we show that the extreme oil–REIT nexus is heterogeneous and asymmetric. The return spillover is stronger at lower quantiles. Furthermore, the oil market acts as a net transmitter of return spillovers to the REIT markets during times of downside return and a net receiver of spillovers during upside returns. The hedging strategy is expensive during COVID-19, with oil offering the highest hedging effectiveness for Hong Kong.

Keywords: REIT markets; Oil; Spillovers; Quantiles; COVID-19; G14; F36; C40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001775

DOI: 10.1016/j.frl.2022.102895

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