Spillover Risks in REITs and Other Asset Markets

Chiang, Ming-Chu; Sing, Tien Foo; Tsai, I‐Chun

doi:10.2139/ssrn.2597773

Cited by 6 publications

(7 citation statements)

References 4 publications

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“…4 For further studies based on this methodology see e.g. Antonakakis and Floros (2016), Chiang et al (2017), and Shahzad, Ferrer, Ballester, and Umar (2017).…”

Section: Resultsmentioning

confidence: 99%

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On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

Damianov

El-Sayed

2018

Finance Research Letters

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“…4 For further studies based on this methodology see e.g. Antonakakis and Floros (2016), Chiang et al (2017), and Shahzad, Ferrer, Ballester, and Umar (2017).…”

Section: Resultsmentioning

confidence: 99%

“…Chiang, Sing, and Tsai (2017)). The dynamic estimates of total spillovers (see equation 5) are presented inFigure 1.…”

mentioning

confidence: 99%

On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

Damianov

El-Sayed

2018

Finance Research Letters

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“…Fundamental contagion refers to risks that may lie within trade and financial linkages between different economies (Longin and Solnik, 1995;Ang and Bekaert, 1999;Dooley and Hutchison, 2009;Chiang et al, 2017). Goldstein (1998) proposed a 'wake-up call' hypothesis that outlines vulnerability of markets to crisis speculations.…”

Section: Literature Reviewmentioning

confidence: 99%

Calm Before the Storm: An Early Warning Approach Before and During the COVID-19 Crisis

Islam

Volkov

2020

SSRN Journal

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This paper develops a means of visualising the vulnerability of complex systems of financial interactions resulting from the changing risk tolerance of investors. The investors' risk behavior contributes to the buildup of vulnerability in crisis and in calm periods. We show how both time-varying risk tolerance and spillover indices can be translated into two-dimensional information transmission and crisis transmission maps, respectively. Taken together, the information transmission maps have the advantage of highlighting potential crisis transmission pathways in the crisis transmission maps. These maps provide clear visualization showing information transmission predates crisis transmission drawing from conditional signed spillover and risk tolerance indices computed from equity market data for 31 global markets between 1998 and 2020. We examine if investors' risk preference induces a crisis and to what extent such a predictor may be related to a pandemic. Furthermore, we take a special look at the Covid-19 pandemic and its impact on the dynamics of systemic crisis transmission.

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“…Generally, the ratios of profits and risks in real estate indirect investment products like REITs and real estate funds are associated with the typical investment market of the capital market like shares and stocks [17]. Thus, it is very necessary to conduct a study of this.…”

Section: Real Estate Indirect Investmentmentioning

confidence: 99%

Study of the Portfolio Sensitivity of Combined Assets of Real Estate Indirect Investment Products

Choi¹,

Kim²

2019

Res. Bus.

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This study constructed combined REITs and real estate funds in traditional portfolios and analyzed the inclusion ratio of efficient real estate indirect investment products through sensitivity analysis of profits and risks by input ratio. Methods/Statistical analysis: To measure the rate of profits and risks of the composite asset portfolio, Minimum Variance Portfolio and Optimal Risky Portfolio were drawn through mean-variance and sensitivity analysis was conducted on changes in the rates of risks and profits by the increase of the weight of real estate indirect investment products. Concrete variables consisted of KRX BOND, KOSPI, and Office (Seoul) Price Index; REITs TRUS Y7 in operation was used as the products; and real estate funds were set by combining HanwhaLasal Global Real Estate Funds.

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Spillover Risks in REITs and Other Asset Markets

Cited by 6 publications

References 4 publications

On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market

Calm Before the Storm: An Early Warning Approach Before and During the COVID-19 Crisis

Study of the Portfolio Sensitivity of Combined Assets of Real Estate Indirect Investment Products

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