Direct real estate, securitized real estate, and equity market dynamic connectedness
Nguyen T.T.H. Balli F. Balli H.O. Syed I.
2022Routledge
Applied Economics
2022#54Issue 232658 - 2677 pp.
The paper’s objective is to scrutinize the dynamics of connectedness across returns of three markets, including direct real estate, securitized real estate, and stock markets. Through the connectedness index approach, the results indicate a significant degree of connectedness, which increases sharply during the recent global financial crisis. The net directional connectedness is volatile and time-dependent, yet the dominant shock transmitting role of the securitized real estate is pronounced during the GFC. While the direct real estate market plays as a dominant shock information receiver from the markets of securitized real estate and stocks in Australia, Canada, France, and the UK, it appears to shape other markets in the context of the US. Given the fact that the securitized real state is considered as the hybrid of the conventional real estate market and the stock market, we further note that the securitized real estate is more linked with its underlying market. Several implications for investors and policymakers are discussed.
Connectedness , real estate market , securitized real estate , stock market
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School of Economics and Finance, Massey University, Albany, Auckland, New Zealand
School of Economics and Finance, Massey University, Albany Auckland Al Farabi, Kazakh National University, Almaty, Kazakhstan
School of Economics and Finance
School of Economics and Finance
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