Financial Interdependencies: Analyzing the Volatility Linkages between Real Estate Investment Trusts, Sukuk, and Oil in GCC Countries

IF 2.1 Q2 BUSINESS, FINANCE
Nevi Danila
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Abstract

This study investigates the financial interconnections among Real Estate Investment Trusts (REITs), sukuk (Islamic bonds), and oil in Gulf Cooperation Council (GCC) nations. The study sample comprises S&P GCC Composite Equity Real Estate Investment Trusts (REITs) Shariah, the S&P GCC Bond and Sukuk Index, and the OPEC crude oil basket on a daily basis. The duration of coverage spans from 2014 until the beginning of 2024. The TVP-VAR methodology is utilized to examine the interrelationship among the assets. The results indicate that Real Estate Investment Trusts (REITs) and oil are sources of volatility transmission, whereas sukuk is a recipient of volatility within the network. Examining the net pairwise directional linkages of two assets, namely REITs and oil markets, reveals that they transfer their volatility to the sukuk market. Moreover, a reciprocal relationship exists between REITs and oil regarding volatility spillover. It means that REITs act as transmitters to the oil markets during specific periods, while the influence is reversed at other times. This study implies that portfolio managers and investors can discern the volatility patterns of assets in order to enhance their risk-management techniques. For policymakers, comprehending the interdependence of certain asset classes provides valuable knowledge for formulating regulations that might stabilize the financial system and foster economic growth. From a research and academic perspective, this study enhances understanding of the interconnections between different financial asset classes and pricing dynamics in financial markets.
金融相互依存性:分析海湾合作委员会国家房地产投资信托、苏库克债券和石油之间的波动联系
本研究调查了海湾合作委员会(GCC)国家的房地产投资信托基金(REITs)、伊斯兰债券(sukuk)和石油之间的金融关联。研究样本包括标准普尔海湾合作委员会综合股票房地产投资信托基金(REITs)伊斯兰教法、标准普尔海湾合作委员会债券和伊斯兰债券指数以及欧佩克原油篮子的每日数据。覆盖期限从 2014 年到 2024 年初。采用 TVP-VAR 方法来研究资产之间的相互关系。结果表明,房地产投资信托基金(REITs)和石油是波动传导的来源,而伊斯兰债券则是网络内波动的接受者。对房地产投资信托基金和石油市场这两种资产的净配对定向联系的研究表明,它们将其波动性传递给了伊斯兰债券市场。此外,在波动溢出方面,房地产投资信托和石油之间存在互惠关系。这意味着,房地产投资信托基金在特定时期充当石油市场的传播者,而在其他时期,这种影响则相反。这项研究表明,投资组合经理和投资者可以辨别资产的波动模式,以提高他们的风险管理技术。对于政策制定者来说,理解某些资产类别的相互依存性为制定可能稳定金融体系和促进经济增长的法规提供了宝贵的知识。从研究和学术角度来看,本研究有助于加深对不同金融资产类别之间的相互联系以及金融市场定价动态的理解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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