What happens when the disruptive asset meets the conventional asset? An analysis of cryptocurrency and REIT

Jinghua Wang and Joseph A. Micale

Applied Economics, 2025, vol. 57, issue 54, 9084-9097

Abstract: This study investigates the symmetric and asymmetric connectedness of recently developed disruptive assets – cryptocurrency and important conventional assets – Real Estate Investment Trusts (REITs) across various time scales and frequencies. We measure the strength and magnitude of returns and volatility spillover between REITs and cryptocurrency using both time series and machine learning approaches. Our findings support the dominance of conventional assets in the correlation with disruptive assets, demonstrated by REITs price movements’ destabilization of the correlation network. Interestingly, this destabilization is concentrated in bear markets, suggesting that while investors trade both cryptocurrencies and REITs in bull markets, investors are likely to hedge their cryptocurrency investments with REITs or avoid cryptocurrencies in bear markets. Our empirical findings provide implications for both asset allocation and policy making.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2024.2406526 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:applec:v:57:y:2025:i:54:p:9084-9097

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2024.2406526

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().