Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets
Jose Gomez-Gonzalez () and
Jorge Hirs-Garzon ()
Working papers from Red Investigadores de Economía
We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets has increased importantly over time. On average stock markets are net transmitters and REITs markets are net receivers. Considerable time variation is observed. Spillovers are higher during crises and REITs were net spillover transmitters to stock markets during the Subprime Financial Crisis. Our results have important implications for global investors.
Keywords: Spillovers; Market connectedness; REITs markets; Stock markets; LASSO methods (search for similar items in EconPapers)
JEL-codes: G01 G15 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://repositorio.redinvestigadores.org/bitstream ... quence=3&isAllowed=y (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rie:riecdt:47
Access Statistics for this paper
More papers in Working papers from Red Investigadores de Economía Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by CAIE ().