Volatility spillovers and risk transmission in global real estate investment trust markets: Role of uncertainty and macroeconomic shocks

초록

We examine volatility spillovers in global real estate investment trust (REIT) markets using the Garman-Klass estimator to capture risk transmission dynamics. We identify key risk factors-such as risk aversion and bond yields-that are statistically associated with higher volatility spillovers, particularly during periods of market stress. Our findings reveal significant market integration, with Japan and Australia acting as major risk transmitters during crises, while Hong Kong serves as a net transmitter under normal conditions. Unlike previous studies that have emphasized sentiment and uncertainty shocks in return spillovers, we find their impact on volatility transmission to be limited. These results underscore the dominant role of risk aversion and bond yields in driving systemic risk across REIT markets. Our findings offer insights for investors, asset managers, and policymakers, emphasizing the importance of monitoring market dynamics and long-term risk factors influencing global REIT stability.

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