ABSTRACT

This paper examines the interconnectedness among European equity REITs (Real Estate Investment Trusts) due to increased financialization of the real estate sector and European economic integration. It uses two models, Diebold and Yilmaz's generalised variance decomposition and Barunik and Krehlik's time-frequency dynamics framework. The study covers a sample of 42 Pan-European REITs over a 15-year period from 2004 to 2018 and finds that the connectedness among REITs is influenced by the geographical location and performance of commercial real estate sub-sectors. The dynamic analysis shows that the source of shocks does not determine the persistence, but rather how the markets interpret the shocks during high-frequency intervals. The paper concludes that the connectedness structure among REITs reflects uncertainty interaction, with some effects observed mainly at high frequency levels, and few unexpected shocks found in the long-term stability of REIT returns.

摘要

本文探讨了由于房地产行业金融化程度的提高和欧洲经济一体化而导致的欧洲股票 REIT（房地产投资信托基金）之间的相互关联性。它使用两个模型：Diebold 和 Yilmaz 的广义方差分解以及 Barunik 和 Krehlik 的时频动态框架。该研究涵盖了 2004 年至 2018 年 15 年间 42 个泛欧 REITs 的样本，发现 REITs 之间的关联性受到商业房地产子行业的地理位置和业绩的影响。动态分析表明，冲击的来源并不决定其持续性，而是决定市场如何解释高频区间的冲击。本文的结论是，REITs之间的关联结构反映了不确定性的相互作用，