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<p>This study uses a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach as well as the quantile-based approach to explore spillover effects and the heterogeneity in the dependence among thirteen main international REIT markets and the West Texas Intermediate crude oil futures contracts (WTI). Furthermore, several risk evaluation measures are employed to evaluate the potential reduction in the portfolio risk generated by the inclusion of each of international REITs under study in a portfolio composed of oil to draw portfolio implications. Our findings reveal a significant information interdependence between oil and REIT markets, particularly, in the US and the UK REITs, as evidenced by a high total connectedness index. The information spillover abruptly magnifies following the COVID-19, especially in the period of volatility spikes. Although the UK and the US REIT markets are still the dominant transmitters, other REITs markets join this group including Belgium, Canada, France, and Germany. This implies that investors may need to rebalance their REIT portfolios due to increased uncertainty in these markets. Moreover, the hedging and diversification opportunities of REITs against oil risk appear to be sensitive to different periods and market states. Our results draw relevant implications for financial market participants regarding flight-to-safety during high uncertainty periods and holding a diverse portfolio to escape losses and to inculcate the diversification benefits.</p>

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Spillover Dynamics and Quantile Dependence Between Oil and Global REITs: Evidence From COVID-19 Pandemic

  • 期刊论文

  • 发表日期：

    2026年3月17日

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  • Abdullah AlGhazali,
  • Refk Selmi,
  • Walid Mensi,
  • Sang Hoon Kang

摘要

This study uses a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach as well as the quantile-based approach to explore spillover effects and the heterogeneity in the dependence among thirteen main international REIT markets and the West Texas Intermediate crude oil futures contracts (WTI). Furthermore, several risk evaluation measures are employed to evaluate the potential reduction in the portfolio risk generated by the inclusion of each of international REITs under study in a portfolio composed of oil to draw portfolio implications. Our findings reveal a significant information interdependence between oil and REIT markets, particularly, in the US and the UK REITs, as evidenced by a high total connectedness index. The information spillover abruptly magnifies following the COVID-19, especially in the period of volatility spikes. Although the UK and the US REIT markets are still the dominant transmitters, other REITs markets join this group including Belgium, Canada, France, and Germany. This implies that investors may need to rebalance their REIT portfolios due to increased uncertainty in these markets. Moreover, the hedging and diversification opportunities of REITs against oil risk appear to be sensitive to different periods and market states. Our results draw relevant implications for financial market participants regarding flight-to-safety during high uncertainty periods and holding a diverse portfolio to escape losses and to inculcate the diversification benefits.