TY - JOUR
T1 - Extreme return and volatility connectedness among real estate tokens, REITs, and other assets
T2 - The role of global factors and portfolio implications
AU - Abdullah, Mohammad
AU - Adeabah, David
AU - Abakah, Emmanuel Joel Aikins
AU - Lee, Chi Chuan
N1 - Publisher Copyright:
© 2023 Elsevier Inc.
PY - 2023/9
Y1 - 2023/9
N2 - 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.
AB - 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.
KW - Connectedness
KW - Cryptocurrency
KW - Extreme returns and volatility
KW - Global uncertainty factors
KW - Portfolio implications
KW - REITs
KW - Real estate tokens
UR - http://www.scopus.com/inward/record.url?scp=85161348992&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2023.104062
DO - 10.1016/j.frl.2023.104062
M3 - Article
AN - SCOPUS:85161348992
SN - 1544-6123
VL - 56
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 104062
ER -