Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets

We study spillovers between REITs and stock markets in a global context. compute both directional net spillover indexes dynamic setting. use LASSO methods to include many our analysis. Our findings indicate that connectedness these is high. On average three REIT one market are volatility transmitters. Considerable time variation observed. Spillovers substantially higher during crises. While were the main transmitters Subprime Financial Crisis, have become major last decade. results important implications for investors.