Price and Volatility Linkages between International REITs and Oil Markets

30 Pages Posted: 8 Dec 2019

See all articles by Şaban Nazlıoğlu

Şaban Nazlıoğlu

Pamukkale University

Rangan Gupta

University of Pretoria - Department of Economics

Alper Gormus

Texas A&M University (TAMU), Commerce

Ugur Soytas

DTU Management

Date Written: November 21, 2019

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.

Keywords: REITs, oil markets, price and volatility spillovers, structural changes

JEL Classification: C32, Q02, R33

Suggested Citation

Nazlıoğlu, Şaban and Gupta, Rangan and Gormus, Alper and Soytas, Ugur, Price and Volatility Linkages between International REITs and Oil Markets (November 21, 2019). Available at SSRN: https://ssrn.com/abstract=3491464 or http://dx.doi.org/10.2139/ssrn.3491464

Şaban Nazlıoğlu (Contact Author)

Pamukkale University ( email )

Çamlaraltı Mh. Pamukkale Üniversitesi Pk
Merkez, Denizli 20070
Turkey

Rangan Gupta

University of Pretoria - Department of Economics ( email )

South Africa

Alper Gormus

Texas A&M University (TAMU), Commerce ( email )

2600 South Neal Street
Commerce, TX 75428
United States

Ugur Soytas

DTU Management ( email )

Produktionstorvet 424
Room 020
Kgs. Lyngby, 2800
Denmark

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
93
Abstract Views
610
Rank
502,565
PlumX Metrics