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

【Author】 Abdullah, Mohammad; Adeabah, David; Abakah, Emmanuel Joel Aikins; Lee, Chi-Chuan

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】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.

【Keywords】Connectedness; Cryptocurrency; Extreme returns and volatility; Global uncertainty factors; Portfolio implications; Real estate tokens; REITs

【发表时间】2023 SEP

【收录时间】2023-07-12

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析