A study on the information-leading role between REITs and stock markets

시장 여건에 따른 리츠 부문과 주식시장 간 정보 선도 관계를 분석했다.

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.