Quantile Spillovers and Connectedness Between Real Estate Investment Trust, the Housing Market, and Investor Sentiment
This paper examines the quantile connectedness between Real Estate Investment Trusts (REITs), housing market sentiment, and stock market sentiment in the U.S. over the period between January 2014 and June 2022 using the quantile vector autoregression (QVAR) model. We find modest spillover effects at...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2024-11-01
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| Col·lecció: | International Journal of Financial Studies |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7072/12/4/117 |
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