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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Principais autores:	Elroi Hadad, Thai Hong Le, Anh Tram Luong
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2024-11-01
Colecção:	International Journal of Financial Studies
Assuntos:	quantile connectedness REITs investor sentiment housing market stock market
Acesso em linha:	https://www.mdpi.com/2227-7072/12/4/117
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