{"title":"美国房地产投资信托基金（REITs）与绿色金融指数之间的风险传递和分散策略","authors":"Hongjun Zeng","doi":"10.1108/k-12-2023-2653","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>We examined the dynamic volatility connectedness and diversification strategies among US real estate investment trusts (REITs) and green finance indices.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>The DCC-GARCH dynamic connectedness framework and he DCC-GARCH t-copula model were employed in this study.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>Using daily data from 2,206 observations spanning from 2 January 2015 to 31 January 2023 this paper presents the following findings: (1) cross-market spillovers exhibited a high correlation and significant fluctuations, particularly during extreme events; (2) our analysis confirmed that REIT acted as net receivers from other green indices, with the S&P North America Large-MidCap Carbon Efficient Index dominating the in-network volatility spillover; (3) this observation suggests asymmetric spillovers between the two markets and (4) a portfolio analysis was conducted using the DCC-GARCH t-copula framework to estimate hedging ratios and portfolio weights for these indices. When REIT and the Dow Jones US Select ESG REIT Index were simultaneously added to a risk-hedged portfolio, our findings indicated that no risk-hedging effect could be achieved. Moreover, the cost and performance of hedging green assets using REIT were found to be comparable.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>We first examined the dynamic volatility connectedness and diversification strategies among US REITs and green finance indices. The outcomes of this study carry practical implications for market participants.</p><!--/ Abstract__block -->","PeriodicalId":49930,"journal":{"name":"Kybernetes","volume":"5 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Risk transmission and diversification strategies between US real estate investment trusts (REITs) and green finance indices\",\"authors\":\"Hongjun Zeng\",\"doi\":\"10.1108/k-12-2023-2653\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<h3>Purpose</h3>\\n<p>We examined the dynamic volatility connectedness and diversification strategies among US real estate investment trusts (REITs) and green finance indices.</p><!--/ Abstract__block -->\\n<h3>Design/methodology/approach</h3>\\n<p>The DCC-GARCH dynamic connectedness framework and he DCC-GARCH t-copula model were employed in this study.</p><!--/ Abstract__block -->\\n<h3>Findings</h3>\\n<p>Using daily data from 2,206 observations spanning from 2 January 2015 to 31 January 2023 this paper presents the following findings: (1) cross-market spillovers exhibited a high correlation and significant fluctuations, particularly during extreme events; (2) our analysis confirmed that REIT acted as net receivers from other green indices, with the S&P North America Large-MidCap Carbon Efficient Index dominating the in-network volatility spillover; (3) this observation suggests asymmetric spillovers between the two markets and (4) a portfolio analysis was conducted using the DCC-GARCH t-copula framework to estimate hedging ratios and portfolio weights for these indices. When REIT and the Dow Jones US Select ESG REIT Index were simultaneously added to a risk-hedged portfolio, our findings indicated that no risk-hedging effect could be achieved. Moreover, the cost and performance of hedging green assets using REIT were found to be comparable.</p><!--/ Abstract__block -->\\n<h3>Originality/value</h3>\\n<p>We first examined the dynamic volatility connectedness and diversification strategies among US REITs and green finance indices. 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Risk transmission and diversification strategies between US real estate investment trusts (REITs) and green finance indices
Purpose
We examined the dynamic volatility connectedness and diversification strategies among US real estate investment trusts (REITs) and green finance indices.
Design/methodology/approach
The DCC-GARCH dynamic connectedness framework and he DCC-GARCH t-copula model were employed in this study.
Findings
Using daily data from 2,206 observations spanning from 2 January 2015 to 31 January 2023 this paper presents the following findings: (1) cross-market spillovers exhibited a high correlation and significant fluctuations, particularly during extreme events; (2) our analysis confirmed that REIT acted as net receivers from other green indices, with the S&P North America Large-MidCap Carbon Efficient Index dominating the in-network volatility spillover; (3) this observation suggests asymmetric spillovers between the two markets and (4) a portfolio analysis was conducted using the DCC-GARCH t-copula framework to estimate hedging ratios and portfolio weights for these indices. When REIT and the Dow Jones US Select ESG REIT Index were simultaneously added to a risk-hedged portfolio, our findings indicated that no risk-hedging effect could be achieved. Moreover, the cost and performance of hedging green assets using REIT were found to be comparable.
Originality/value
We first examined the dynamic volatility connectedness and diversification strategies among US REITs and green finance indices. The outcomes of this study carry practical implications for market participants.
期刊介绍：
Kybernetes is the official journal of the UNESCO recognized World Organisation of Systems and Cybernetics (WOSC), and The Cybernetics Society.
The journal is an important forum for the exchange of knowledge and information among all those who are interested in cybernetics and systems thinking.
It is devoted to improvement in the understanding of human, social, organizational, technological and sustainable aspects of society and their interdependencies. It encourages consideration of a range of theories, methodologies and approaches, and their transdisciplinary links. The spirit of the journal comes from Norbert Wiener''s understanding of cybernetics as "The Human Use of Human Beings." Hence, Kybernetes strives for examination and analysis, based on a systemic frame of reference, of burning issues of ecosystems, society, organizations, businesses and human behavior.
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