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

Mohammad Abdullah, David Adeabah, Emmanuel Joel Aikins Abakah, Chi Chuan Lee

Research output: Contribution to journalArticlepeer-review

33 Citations (Scopus)

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.

Original languageEnglish
Article number104062
JournalFinance Research Letters
Volume56
DOIs
Publication statusPublished - Sep 2023
Externally publishedYes

Keywords

  • Connectedness
  • Cryptocurrency
  • Extreme returns and volatility
  • Global uncertainty factors
  • Portfolio implications
  • REITs
  • Real estate tokens

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