Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F24%3A63581938" target="_blank" >RIV/70883521:28120/24:63581938 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S0275531924000308" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0275531924000308</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ribaf.2024.102238" target="_blank" >10.1016/j.ribaf.2024.102238</a>

Result language

angličtina

Original language name

Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach

Original language description

In this paper, we analyze the quantile return connectedness between the real estate tokens (PROPY, LATOKEN, ATLANT, IHT Real Estate Protocol) and other asset classes, namely oil, gold, bond, currency, equity, Bitcoin, and real estate investment trust for the period August 27, 2018, to April 25, 2022. We perform the connectedness at the mean, median, extreme lower quantile, and extreme upper quantile levels. At the mean and median levels, we find a low level of connectedness between real estate tokens and REIT, and a relatively higher level of connectedness with BTC. This highlights the importance of BTC contributing a high shock of spillover to the whole system, followed by equity and then oil markets. Then, extending our analysis to the extreme lower and upper quantiles, we uncover similar results, yet, this connectedness increases in extreme market conditions compared to the median level. Finally, we provide some implications for investment and portfolio diversification benefits using these assets.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50204 - Business and management

Project

—

Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Research in International Business and Finance

ISSN

0275-5319

e-ISSN

1878-3384

Volume of the periodical

69

Issue of the periodical within the volume

neuvedeno

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

15

Pages from-to

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UT code for WoS article

001177604900001

EID of the result in the Scopus database

2-s2.0-85184069064