A study on the information-leading role between REITs and stock markets = 리츠와 주식 시장 간 정보 주도권에 대한 실증 연구

다국어 초록 (Multilingual Abstract)

The information relationship between real estate investment trusts (REITs) and stock markets has drawn considerable attention in financial research particularly due to how their information flows evolve under various market conditions. This study scrutinizes the information-leading roles between the real estate investment trust sector and overall stock markets across varying market environments. Shannonian transfer entropy, used to identify information-leading roles, can capture nonlinear interactions between two markets. However, the results can be limited by rare events such as sporadically occurring episodes. To address this limitation, this study introduces Rényian transfer entropy to examine the role of rare events in the information flow between the two markets. This conjecture is confirmed using the COVID-19 pandemic as a natural experiment representing rare events. The results reveal several notable findings: (i) Rényian transfer entropy can accurately capture the impact of rare events regardless of the sample period, including shifts in information leadership when volatility clustering strengthens. Furthermore, (ii) the significance of liquidity and market efficiency produces different information flows depending on market status. The findings highlight the practical utility of Rényian transfer entropy for investors aiming to determine asset interdependencies under diverse market regimes, aiding in more informed portfolio decisions. Moreover, the approach provides policymakers with a framework to trace the transmission of financial risks, supporting timely and targeted regulatory interventions.

목차 (Table of Contents)

• Table of Contents
• List of Figure
• List of Tables
• Abstract
• 1. Introduction
• 2. Literature Review
• 2.1. Measuring Information Flow
• 2.2. Information Flow Between REITs and Stock Markets
• 3. Research Method
• 3.1. Data
• 3.2. Methodology
• 3.2.1. Variance Ratio Test
• 3.2.2. Adjusted Market Inefficiency Magnitude
• 3.2.3. Transfer Entropy
• 4. Results
• 4.1. Market Efficiency
• 4.2. Information Flow
• 4.3. Natural Experiment
• 5. Discussion
• 6. Concluding Remarks
• 6.1. Conclusion
• 6.2. Implications
• 6.3. Limitations and Future Work
• References
• Abstract in Korean