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Title: Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach
Authors: Yousaf, Imran
Assaf, Ata 
Demir, Ender
Affiliations: Department of Business Administration 
Keywords: Bitcoin
Real estate tokens
Issue Date: 2024-04-01
Publisher: Elsevier
Part of: Research in International Business and Finance
Volume: 69
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.
ISSN: 02755319
DOI: 10.1016/j.ribaf.2024.102238
Open URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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