Connectedness structure of Pan-European Equity REITs

Naoufal Nassili, Arnaud Simon and Richard Malle
Additional contact information
Naoufal Nassili: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Arnaud Simon: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Richard Malle: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM]

Post-Print from HAL

Abstract: This paper examines the interconnectedness among European equity REITs (Real Estate Investment Trusts) due to increased financialization of the real estate sector and European economic integration. It uses two models, Diebold and Yilmaz's generalised variance decomposition and Barunik and Krehlik's time-frequency dynamics framework. The study covers a sample of 42 Pan-European REITs over a 15-year period from 2004 to 2018 and finds that the connectedness among REITs is influenced by the geographical location and performance of commercial real estate sub-sectors. The dynamic analysis shows that the source of shocks does not determine the persistence, but rather how the markets interpret the shocks during high-frequency intervals. The paper concludes that the connectedness structure among REITs reflects uncertainty interaction, with some effects observed mainly at high frequency levels, and few unexpected shocks found in the long-term stability of REIT returns.

Keywords: REITs connectedness; volatility spillovers; REITpricing dynamics; real estateconnectedness; variancedecomposition; vectorautoregression (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Published in Journal of Property Research, 2023, 40 (3), pp.274-310. ⟨10.1080/09599916.2023.2171305⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-04603398

DOI: 10.1080/09599916.2023.2171305

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().