ABSTRACT
The US real estate market presents itself as a highly capital intensive business and therefore an important part of the US economy. We examine the presence of dependence between 50 US financial REITs from 1st January 2006 to 20th July 2020 categorized into small, medium and large REITs. We apply normal and threshold dependence measures as main tests and centrality networking based on the minimum spanning tree as a robustness approach. We report strong dependence between large and medium US REITs, whereas small REITs provide more diversification and act as net transmitters of information. In comparison to the GFC and ESDC crises, COVID-19 affects all sizes of REIT. Our results suggest that size could be an important factor in REIT pricing, specifically a higher premium should be assigned to large REITs because of their risk receiving behaviour during crisis periods and high connectedness with other large and medium sized REITs.
ABSTRACT
We examine the dependence structure among the metals and mining companies of the US and Europe. We employ several dependency measures, comprising network dependency and spillover approaches, using daily data from May 14, 2010 to July 10, 2020. We estimate the minimum spanning tree and conduct sub-sample analyses for the European sovereign debt crisis and COVID19 pandemic lockdown periods. Our results show high dependence among US metals and mining stocks and no dependence among such companies based in Poland, the UK or Italy. During European crises, UK and Austrian metals and mining companies are shown to be major risk transmitters, whereas Austrian, US and Finnish companies are major recipients of spillover. We also observe a significant increase in the transmission effect from Austrian, US and Finnish companies during the COVID19 period. This study is the first to show spillover and contagion effects among the metals and mining companies of the US and Europe, and thus provides useful information for market players in this domain.