Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications

被引：35

作者：

Abdullah, Mohammad ^{[1
]}

Adeabah, David ^{[2
]}

Abakah, Emmanuel Joel Aikins ^{[2
]}

Lee, Chi-Chuan ^{[3
,4
]}

机构：

[1] Univ Sultan Zainal Abidin, Terengganu, Malaysia

[2] Univ Ghana, Business Sch, Accra, Ghana

[3] Southwestern Univ Finance & Econ, Sch Publ Adm, Chengdu, Peoples R China

[4] Room 1105,Gezhi Bldg, 555 Liutai Ave, Chengdu, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 56卷

关键词：

Connectedness; Cryptocurrency; Extreme returns and volatility; Global uncertainty factors; Portfolio implications; Real estate tokens; REITs; IMPULSE-RESPONSE ANALYSIS; BITCOIN;

D O I：

10.1016/j.frl.2023.104062

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines extreme return and volatility connectedness among real estate tokens, REITs, and other assets while accounting for global uncertainties' effect on connectedness and portfolio implications. The results indicate that the S & P 500 and REITs are the only assets with connectedness in a normal market, while extreme quantile results indicate higher network transmission. There is also evidence of a time-varying upsurge in connectedness, suggesting an event dependency effect. The results also indicate a significantly positive impact from all global uncertainty factors on a bear market. Finally, real estate tokens were found to be the cheapest hedge for oil and Bitcoin.

引用

页数：13

共 42 条

[1] Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks [J].