Price and volatility linkages between international REITs and oil markets

Abstract

This study analyzes price and volatility transmissions between nineteen real estate investment trusts (REITs) markets and the oil market. The REITs data represents a variety of countries at different stages of their development and the expanded analytical approach includes accounting for structural shifts as gradual processes -as opposed to strictly abrupt processes typically assumed in literature. Oil prices are found to primarily predict REITs prices in mature REITs markets, but the feedback from REITs to oil prices is weak. From the perspective of volatility, strong evidence of bidirectional transmission in majority of the markets is observed. This study further demonstrates the importance of accounting for gradual (smooth) structural shifts for price transmission analysis.

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

“…This reveals that investors can add WTI contract to their stock portfolio. Our result contradicts the findings of Nazlioglu et al (2020) who find spillovers from oil to US REIT market. The lowest average correlation occurs between REIT and WTI (), suggesting that energy investors can add REIT asset to hedge their position against downside oil price movements.…”

The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey

“…Some recent studies yield that disregarding structural breaks can result in false conclusions in the conditional variance modelling as economic time series data are exposed to these breaks (Li & Enders, 2017;Pascalau et al, 2011). Hence, following Teterin et al (2016) and Nazlioglu et al (2020aNazlioglu et al ( , 2020b, this paper uses the Fourier approximation to consider structural breaks in modelling the conditional variance. The analysis extends the GARCH model above to capture breaks in the conditional variance through the Fourier approximation.…”

The integration of real estate investment trust: a wavelet coherency analysis

“…Also, increasing gold speculation increases herding behaviour in the South African REITs market. In a related study, Nazlioglu et al . (2020) analysed price and volatility transmissions between REITs and the oil markets.…”

“…Also, increasing gold speculation increases herding behaviour in the South African REITs market. In a related study, Nazlioglu et al (2020) analysed price and volatility transmissions between REITs and the oil markets. The authors find oil prices to predict REITs prices in mature REITs markets; however, there exists weak feedback from REITs to oil prices.…”