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<p>In the context of financial globalization, the issue of risk spillovers between financial markets in different regions of the world has become increasingly important. This paper examines the risk spillover effects among REIT markets in 17 countries and regions in the context of significant crisis events. We first compute the variance decomposition spillover index based on the time-varying parameter method (TVP-VAR model), and then analyze the time-varying risk contagion effects among global REITs markets by examining the network topology over different time periods. We prove that the overall volatility spillover effect in the global REITs market shows a significant increase with the emergence of the epidemic, while there is a more pronounced decrease during Brexit and the US-China trade war. Developed REITs markets, expect the UK, have greater risk spillovers and risk tolerance, and tend to be net spillovers, especially before the outbreak of the pandemic. However, for some developing countries and regions, the risk spillover effect increased significantly after the outbreak of the pandemic.</p>

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Risk contagion in global REITs markets based on volatility spillover networks

  • 期刊论文

  • 发表日期：

    2026年2月19日

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  • Jian Liu,
  • Chaoqiang Chen,
  • Lei Sun,
  • Hua-Tang Yin,
  • Chun-Ping Chang

摘要

In the context of financial globalization, the issue of risk spillovers between financial markets in different regions of the world has become increasingly important. This paper examines the risk spillover effects among REIT markets in 17 countries and regions in the context of significant crisis events. We first compute the variance decomposition spillover index based on the time-varying parameter method (TVP-VAR model), and then analyze the time-varying risk contagion effects among global REITs markets by examining the network topology over different time periods. We prove that the overall volatility spillover effect in the global REITs market shows a significant increase with the emergence of the epidemic, while there is a more pronounced decrease during Brexit and the US-China trade war. Developed REITs markets, expect the UK, have greater risk spillovers and risk tolerance, and tend to be net spillovers, especially before the outbreak of the pandemic. However, for some developing countries and regions, the risk spillover effect increased significantly after the outbreak of the pandemic.