Quantile connectedness and spillovers analysis between oil and international REIT markets

We examine the quantile return spillovers between oil and international REIT markets (Australia, Belgium, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, New Zealand, Singapore, UK, and US). Using a quantile connectedness approach, we show that the extreme oil-REIT nexus is heterogeneous and asymmetric. The return spillover is stronger at lower quantiles. Furthermore, the oil market acts as a net transmitter of return spillovers to the REIT markets during times of downside return and a net receiver of spillovers during upside returns. The hedging strategy is expensive during COVID-19, with oil offering the highest hedging effectiveness for Hong Kong.

Automated summary

The study examines the quantile return spillovers between the oil market and international REIT markets and finds heterogeneous and asymmetric connections. The spillover is stronger at lower quantiles, with the oil market transmitting spillovers to the REIT markets during downside returns and receiving spillovers during upside returns. The hedging effectiveness during COVID-19 is highest for Hong Kong in the oil market.