Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications

Mohammad Abdullah, David Adeabah, Emmanuel Abakah and Chi-Chuan Lee

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This paper examines extreme return and volatility connectedness among real estate tokens, REITs, and other assets while accounting for global uncertainties’ effect on connectedness and portfolio implications. The results indicate that the S&P 500 and REITs are the only assets with connectedness in a normal market, while extreme quantile results indicate higher network transmission. There is also evidence of a time-varying upsurge in connectedness, suggesting an event dependency effect. The results also indicate a significantly positive impact from all global uncertainty factors on a bear market. Finally, real estate tokens were found to be the cheapest hedge for oil and Bitcoin.

Keywords: Connectedness; Cryptocurrency; Extreme returns and volatility; Global uncertainty factors; Portfolio implications; Real estate tokens; REITs (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004348

DOI: 10.1016/j.frl.2023.104062

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