Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets


  • Documento de Trabajo RIEC
  • Documento de trabajo RIEC


  • We study spillovers between REITs and stock markets in a global context. We compute both directional and net spillover indexes in a global and dynamic setting. Our findings indicate that connectedness between these markets has increased importantly over time. On average stock markets are net transmitters and REITs markets are net receivers. Considerable time variation is observed. Spillovers are higher during crises and REITs were net spillover transmitters to stock markets during the Subprime Financial Crisis. Our results have important implications for global investors.

fecha de publicación

  • 2020

Líneas de investigación

  • LASSO Methods
  • LASSO methods
  • Market Connectedness
  • Market connectedness
  • REITs Markets
  • REITs markets
  • Spillovers
  • Stock Markets
  • Stock markets


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