Title

Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis

Document Type

Article

Publication Date

11-1-2018

Abstract

In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REIT). Our novel approach is simple and yet flexible enough to accommodate the nature and extent of information spillover among several components of the global housing network. For a network of nine leading industrial economies, we unveil static and time-varying information spillover of REIT returns using total transfer entropy, pairwise net transfer entropy and directional (“From”, “To”) transfer entropy. Evidence suggests that the greatest pairwise transfer entropy is from the US to Australia, whereas France, the Netherlands, New Zealand and Singapore are the largest information recipients in the network. The time-varying evolution of total transfer entropy also exhibits a declining trend for the integration of global housing market during our sample period.

DOI

10.1016/j.najef.2018.04.002

Publication Title

North American Journal of Economics and Finance

Volume Number

46

First Page

103

Last Page

113

ISSN

10629408

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