Abdullah AlGhazali , Houssem Eddine Belghouthi , Mohamed Amine Nabli , Walid Mensi , Sang Hoon Kang
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引用次数: 0
Abstract
This study analyzes the connectedness between international real estate investment trusts (REITs), commodity futures (Gold, Silver, WTI oil, and Brent oil), and green bonds using a quantile frequency connectedness approach. The results show a stronger connectivity during bearish and bullish market conditions. Moreover, the connectedness is more intense in the short term (medium and long terms) when markets are in a bearish (bullish) situation. The REIT markets in Canada, France, and the United States predominantly function as net shock transmitters, whereas the Hong Kong market serves as a net shock receiver. Using a quantile-on-quantile regression, we discern a positive relationship between markets during bear phases. However, this relationship reverses to a negative when REITs are bearish and other markets are bullish, indicating that commodities and green bonds serve as a safe haven and are effective for hedging and portfolio diversification. Precious metals and green bonds prove to be more effective than oil in minimizing risk in REIT-based portfolios. Overall, these findings have important implications on risk management and portfolio optimization, particularly in times of market volatility. Policy makers can utilize these findings to implement measures that alleviate the effects of cross-market shocks and strengthen financial stability.
期刊介绍:
Resources Policy is an international journal focused on the economics and policy aspects of mineral and fossil fuel extraction, production, and utilization. It targets individuals in academia, government, and industry. The journal seeks original research submissions analyzing public policy, economics, social science, geography, and finance in the fields of mining, non-fuel minerals, energy minerals, fossil fuels, and metals. Mineral economics topics covered include mineral market analysis, price analysis, project evaluation, mining and sustainable development, mineral resource rents, resource curse, mineral wealth and corruption, mineral taxation and regulation, strategic minerals and their supply, and the impact of mineral development on local communities and indigenous populations. The journal specifically excludes papers with agriculture, forestry, or fisheries as their primary focus.