Interconnected dynamics of REITs and other financial Instruments in ASEAN: a comprehensive analysis

This paper investigates the volatility spillover between Real Estate Investment Trusts (REITs) and other financial instruments and macroeconomic variables, such as currency, stock, oil, and interest rates in three ASEAN countries. The study uses a time-varying vector autoregression (TVP-VAR) model to measure the connections and find out how much shocks in one market can affect the others. Additionally, it provides insights into the implications of these spillover effects for investors and policymakers in the region. The sample period varies depending on the data availability, from January 2010 to October 2024. The study revealed the following key findings: First, the study found that spillover volatility is transmitted from stock and currency markets to REITs markets in Malaysian, Singaporean, and Thai markets. However, in the Malaysian market, the spillover occurs indirectly from stocks to REITs. Secondly, not all markets link interest rates to REITs. Finally, the Malaysian market only indirectly connects oil with REITs through stock and currency.