{"id":"https://openalex.org/W7224217257","doi":"https://doi.org/10.3846/ijspm.2026.26130","title":"Volatility spillovers and REIT hedging across sectors: Evidence from us and UK markets","display_name":"Volatility spillovers and REIT hedging across sectors: Evidence from us and UK markets","publication_year":2026,"publication_date":"2026-10-29","ids":{"openalex":"https://openalex.org/W7224217257","doi":"https://doi.org/10.3846/ijspm.2026.26130"},"language":"en","primary_location":{"id":"doi:10.3846/ijspm.2026.26130","doi":"https://doi.org/10.3846/ijspm.2026.26130","is_oa":true,"landing_page_url":"https://doi.org/10.3846/ijspm.2026.26130","pdf_url":"https://journals.vilniustech.lt/index.php/IJSPM/article/download/26130/13324","source":{"id":"https://openalex.org/S101163346","display_name":"International Journal of Strategic Property Management","issn_l":"1648-715X","issn":["1648-715X","1648-9179"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Strategic Property Management","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://journals.vilniustech.lt/index.php/IJSPM/article/download/26130/13324","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5099013723","display_name":"Jongseok Rim","orcid":"https://orcid.org/0000-0003-4088-2354","observed_orcids":["https://orcid.org/0000-0003-4088-2354"]},"institutions":[{"id":"https://openalex.org/I205051169","display_name":"Kingston University London","ror":"https://ror.org/05bbqza97","country_code":"GB","type":"education","lineage":["https://openalex.org/I205051169"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Jongseok Rim","raw_affiliation_strings":["Department of Accounting, Finance and Informatics, Kingston University"],"raw_orcid":"https://orcid.org/0000-0003-4088-2354","affiliations":[{"raw_affiliation_string":"Department of Accounting, Finance and Informatics, Kingston University","institution_ids":["https://openalex.org/I205051169"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5099013723"],"corresponding_institution_ids":["https://openalex.org/I205051169"],"apc_list":{"value":480,"currency":"EUR","value_usd":517},"apc_paid":{"value":480,"currency":"EUR","value_usd":517},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.8634974,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"30","issue":"4","first_page":"320","last_page":"338"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.98580002784729,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.98580002784729,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.010599999688565731,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.0017999999690800905,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.9369999766349792},{"id":"https://openalex.org/keywords/real-estate-investment-trusts","display_name":"real estate investment trusts","score":0.8930000066757202},{"id":"https://openalex.org/keywords/hedge-effectiveness","display_name":"hedging effectiveness","score":0.8289999961853027},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.7110000252723694},{"id":"https://openalex.org/keywords/covid-19","display_name":"COVID-19 pandemic","score":0.9909999966621399},{"id":"https://openalex.org/keywords/hedge-ratios","display_name":"hedge ratios","score":0.5860000252723694},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.7129999995231628},{"id":"https://openalex.org/keywords/macroprudential-policy","display_name":"macroprudential policy","score":0.8500000238418579}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7246999740600586},{"id":"https://openalex.org/C38815200","wikidata":"https://www.wikidata.org/wiki/Q697852","display_name":"Real estate investment trust","level":3,"score":0.6194000244140625},{"id":"https://openalex.org/C82279013","wikidata":"https://www.wikidata.org/wiki/Q684740","display_name":"Real estate","level":2,"score":0.607200026512146},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5861999988555908},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5809000134468079},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5730000138282776},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5723000168800354},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5257999897003174},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.48899999260902405},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4713999927043915},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.460099995136261},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.45570001006126404},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.4311999976634979},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.39719998836517334},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38530001044273376},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.383899986743927},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.375900000333786},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.3375999927520752},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.33230000734329224},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.3041999936103821},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.2890999913215637},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.28790000081062317},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.2644999921321869},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.25699999928474426},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.2547999918460846}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3846/ijspm.2026.26130","doi":"https://doi.org/10.3846/ijspm.2026.26130","is_oa":true,"landing_page_url":"https://doi.org/10.3846/ijspm.2026.26130","pdf_url":"https://journals.vilniustech.lt/index.php/IJSPM/article/download/26130/13324","source":{"id":"https://openalex.org/S101163346","display_name":"International Journal of Strategic Property Management","issn_l":"1648-715X","issn":["1648-715X","1648-9179"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Strategic Property Management","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:d7370a29898f4971906892c2a2bfaf8c","doi":null,"is_oa":false,"landing_page_url":"https://doaj.org/article/d7370a29898f4971906892c2a2bfaf8c","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"International Journal of Strategic Property Management, Vol 30, Iss 4 (2026)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3846/ijspm.2026.26130","doi":"https://doi.org/10.3846/ijspm.2026.26130","is_oa":true,"landing_page_url":"https://doi.org/10.3846/ijspm.2026.26130","pdf_url":"https://journals.vilniustech.lt/index.php/IJSPM/article/download/26130/13324","source":{"id":"https://openalex.org/S101163346","display_name":"International Journal of Strategic Property Management","issn_l":"1648-715X","issn":["1648-715X","1648-9179"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","erih-plus","jufo-1","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310317518","host_organization_name":"Vilnius Gediminas Technical University","host_organization_lineage":["https://openalex.org/P4310317518"],"host_organization_lineage_names":["Vilnius Gediminas Technical University"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Strategic Property Management","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7224217257.pdf","grobid_xml":"https://content.openalex.org/works/W7224217257.grobid-xml"},"referenced_works_count":52,"referenced_works":["https://openalex.org/W191530999","https://openalex.org/W1506844681","https://openalex.org/W1586390848","https://openalex.org/W1727659491","https://openalex.org/W1814457572","https://openalex.org/W1849797029","https://openalex.org/W1853002300","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1990928740","https://openalex.org/W2011637463","https://openalex.org/W2012705547","https://openalex.org/W2019310035","https://openalex.org/W2028726096","https://openalex.org/W2031803354","https://openalex.org/W2032256557","https://openalex.org/W2036666618","https://openalex.org/W2046782869","https://openalex.org/W2047787463","https://openalex.org/W2063593194","https://openalex.org/W2090459474","https://openalex.org/W2097580026","https://openalex.org/W2104053023","https://openalex.org/W2117922789","https://openalex.org/W2130052345","https://openalex.org/W2137200489","https://openalex.org/W2143053136","https://openalex.org/W2144670019","https://openalex.org/W2173053487","https://openalex.org/W2181138328","https://openalex.org/W2273187009","https://openalex.org/W2297260621","https://openalex.org/W2761998272","https://openalex.org/W2947561507","https://openalex.org/W2972780979","https://openalex.org/W3028329924","https://openalex.org/W3046012295","https://openalex.org/W3122902744","https://openalex.org/W3124586183","https://openalex.org/W3124827715","https://openalex.org/W3125265658","https://openalex.org/W3125611017","https://openalex.org/W4220656131","https://openalex.org/W4224292351","https://openalex.org/W4320169735","https://openalex.org/W4324149160","https://openalex.org/W4360866238","https://openalex.org/W4365148150","https://openalex.org/W4389396052","https://openalex.org/W4395450986","https://openalex.org/W4403869873","https://openalex.org/W4404823502"],"related_works":["https://openalex.org/W7219046603","https://openalex.org/W2963357168","https://openalex.org/W4400829871","https://openalex.org/W7134914761","https://openalex.org/W7201876413","https://openalex.org/W2600027176","https://openalex.org/W4400509563","https://openalex.org/W4223982029","https://openalex.org/W3033288536","https://openalex.org/W7128437005"],"abstract_inverted_index":{"This":[0],"study":[1,161],"rigorously":[2],"investigates":[3],"volatility":[4,60],"spillovers":[5,61],"between":[6,18],"REITs":[7],"and":[8,14,20,53,132,151,182,196],"stock":[9],"markets":[10],"in":[11,167],"the":[12,35,49,54,66,71,98,101,107,125,145,160],"US":[13],"UK,":[15],"specifically":[16],"differentiating":[17],"market":[19,46,73],"sector-specific":[21],"interactions.":[22],"Utilising":[23],"a":[24],"robust":[25],"multivariate":[26],"GARCH":[27],"framework":[28],"with":[29,85],"data":[30],"from":[31],"2000":[32],"to":[33,70,154],"2021,":[34],"research":[36],"meticulously":[37],"examines":[38],"how":[39],"these":[40],"dynamics":[41,131],"shift":[42],"during":[43,106,116],"periods":[44],"of":[45,100,128],"distress,":[47],"including":[48],"Global":[50],"Financial":[51],"Crisis":[52],"COVID-19":[55],"pandemic.":[56],"Findings":[57],"reveal":[58],"that":[59,176],"are":[62],"generally":[63],"weaker":[64],"at":[65],"industry":[67],"level":[68],"compared":[69],"broad":[72],"level,":[74],"highlighting":[75],"enhanced":[76],"diversification":[77],"potential":[78],"when":[79],"real":[80,90,137,163],"estate":[81,138],"is":[82,94,190],"strategically":[83],"paired":[84],"select":[86],"equity":[87],"sectors.":[88],"Crucially,":[89],"estate\u2019s":[91,164],"hedging":[92,134],"effectiveness":[93],"highly":[95],"contingent":[96],"on":[97],"nature":[99],"crisis:":[102],"it":[103],"significantly":[104],"eroded":[105],"GFC,":[108],"an":[109,118],"endogenous":[110],"property-led":[111,180],"shock,":[112],"but":[113],"remarkably":[114],"improved":[115],"COVID-19,":[117],"exogenous":[119],"health":[120],"shock.":[121],"These":[122],"insights":[123],"underscore":[124],"critical":[126],"importance":[127],"sector-level":[129],"risk":[130],"context-specific":[133],"strategies":[135],"for":[136,147,171,178,192],"portfolio":[139],"management.":[140],"For":[141,158],"investors,":[142],"this":[143],"implies":[144],"need":[146],"dynamic,":[148],"sector-tailored":[149],"allocations":[150],"hedge":[152],"ratios":[153],"optimise":[155],"risk-adjusted":[156],"returns.":[157],"policymakers,":[159],"highlights":[162],"dual":[165],"role":[166],"systemic":[168],"resilience,":[169],"advocating":[170],"refined":[172],"macroprudential":[173],"over-":[174],"sight":[175],"accounts":[177],"both":[179],"contagion":[181],"external-shock":[183],"stabilisation":[184],"scenarios.":[185],"The":[186],"actionable":[187],"guidance":[188],"offered":[189],"vital":[191],"optimising":[193],"multi-asset":[194],"portfolios":[195],"enhancing":[197],"financial":[198],"stability.":[199]},"counts_by_year":[],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2026-10-30T00:00:00"}
