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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

Abstract: 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)
Pages: 16
Date: 2020-06
New Economics Papers: this item is included in nep-fmk and nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:rie:riecdt:47

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