Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Imran Yousaf, Ata Assaf and Ender Demir

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: In this paper, we analyze the quantile return connectedness between the real estate tokens (PROPY, LATOKEN, ATLANT, IHT Real Estate Protocol) and other asset classes, namely oil, gold, bond, currency, equity, Bitcoin, and real estate investment trust for the period August 27, 2018, to April 25, 2022. We perform the connectedness at the mean, median, extreme lower quantile, and extreme upper quantile levels. At the mean and median levels, we find a low level of connectedness between real estate tokens and REIT, and a relatively higher level of connectedness with BTC. This highlights the importance of BTC contributing a high shock of spillover to the whole system, followed by equity and then oil markets. Then, extending our analysis to the extreme lower and upper quantiles, we uncover similar results, yet, this connectedness increases in extreme market conditions compared to the median level. Finally, we provide some implications for investment and portfolio diversification benefits using these assets.

Keywords: Connectedness; Real estate tokens; Bitcoin; Quantile (search for similar items in EconPapers)
JEL-codes: F3 G1 Q43 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000308

DOI: 10.1016/j.ribaf.2024.102238

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