Document Type

Article

Publication Date

2023

DOI

10.1080/10835547.2023.2232118

Publication Title

Journal of Real Estate Portfolio Management

Volume

Article in Press

Pages

1-16

Abstract

This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate analysis utilizes both Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH specifications to analyse the interdependence of the data. The findings confirm the presence of volatility transmission across the implied volatility of U.K. REITs, the U.K. implied volatility index, and the U.K. REIT index. The study also applies the variance decomposition approach proposed by Diebold and Yilmaz to examine spillover effects.

Rights

© 2023 The Authors.

This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International (CC BY 4.0) License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the authors or with their consent.

ORCID

0000-0001-7090-5938 (Stevenson)

Original Publication Citation

Katyoka, M., & Stevenson, S. (2023). Volatility transmission: Evidence from U.K. REIT & stock market implied volatility. Journal of Real Estate Portfolio Management, 1-16. Advance online publication. https://doi.org/10.1080/10835547.2023.2232118

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