Risk transmission and diversification strategies between US real estate investment trusts (REITs) and green finance indices

IF 2.5 4区计算机科学 Q2 COMPUTER SCIENCE, CYBERNETICS Kybernetes Pub Date : 2024-09-13 DOI:10.1108/k-12-2023-2653

Hongjun Zeng

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Abstract

Purpose

We examined the dynamic volatility connectedness and diversification strategies among US real estate investment trusts (REITs) and green finance indices.

Design/methodology/approach

The DCC-GARCH dynamic connectedness framework and he DCC-GARCH t-copula model were employed in this study.

Findings

Using daily data from 2,206 observations spanning from 2 January 2015 to 31 January 2023 this paper presents the following findings: (1) cross-market spillovers exhibited a high correlation and significant fluctuations, particularly during extreme events; (2) our analysis confirmed that REIT acted as net receivers from other green indices, with the S&P North America Large-MidCap Carbon Efficient Index dominating the in-network volatility spillover; (3) this observation suggests asymmetric spillovers between the two markets and (4) a portfolio analysis was conducted using the DCC-GARCH t-copula framework to estimate hedging ratios and portfolio weights for these indices. When REIT and the Dow Jones US Select ESG REIT Index were simultaneously added to a risk-hedged portfolio, our findings indicated that no risk-hedging effect could be achieved. Moreover, the cost and performance of hedging green assets using REIT were found to be comparable.

Originality/value

We first examined the dynamic volatility connectedness and diversification strategies among US REITs and green finance indices. The outcomes of this study carry practical implications for market participants.

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美国房地产投资信托基金（REITs）与绿色金融指数之间的风险传递和分散策略

目的我们研究了美国房地产投资信托基金（REITs）和绿色金融指数之间的动态波动关联性和多样化策略。设计/方法/途径本研究采用了 DCC-GARCH 动态关联性框架和 DCC-GARCH t-copula 模型。研究结果本文利用从 2015 年 1 月 2 日至 2023 年 1 月 31 日的 2 206 个观测值的每日数据，得出以下研究结果：(1）跨市场溢出效应表现出高度相关性和显著波动性，尤其是在极端事件期间；（2）我们的分析证实，房地产投资信托指数是其他绿色指数的净接收者，S&P 北美大中盘碳效率指数在网络内波动溢出效应中占主导地位；（3）这一观察结果表明两个市场之间存在非对称溢出效应；（4）使用 DCC-GARCH t-copula 框架进行了投资组合分析，以估计这些指数的对冲比率和投资组合权重。当房地产投资信托指数和道琼斯美国精选环境、社会和治理房地产投资信托指数同时加入风险对冲投资组合时，我们的研究结果表明无法实现风险对冲效果。原创性/价值我们首次研究了美国房地产投资信托和绿色金融指数之间的动态波动关联性和多样化策略。研究结果对市场参与者具有实际意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Kybernetes 工程技术-计算机：控制论

CiteScore

4.90

自引率

16.00%

发文量

237

审稿时长

4.3 months

期刊介绍： Kybernetes is the official journal of the UNESCO recognized World Organisation of Systems and Cybernetics (WOSC), and The Cybernetics Society. The journal is an important forum for the exchange of knowledge and information among all those who are interested in cybernetics and systems thinking. It is devoted to improvement in the understanding of human, social, organizational, technological and sustainable aspects of society and their interdependencies. It encourages consideration of a range of theories, methodologies and approaches, and their transdisciplinary links. The spirit of the journal comes from Norbert Wiener''s understanding of cybernetics as "The Human Use of Human Beings." Hence, Kybernetes strives for examination and analysis, based on a systemic frame of reference, of burning issues of ecosystems, society, organizations, businesses and human behavior.