REIT Market Risk Spillovers During COVID-19 and Trade Shocks

A dataset likely contains analysis of left-tail risk spillovers across nine developed real estate investment trust markets. It was created by Ziqing Lin and focuses on two systemic shock regimes: the COVID-19 pandemic and Sino–US Trade Frictions. The dataset was last updated on May 18, 2026.

Use Cases

• Modeling tail-risk transmission networks based on shock typology described in the study
• Analyzing volatility persistence and mean reversion dynamics across different markets
• Investigating the relationship between institutional transparency differentials and directional risk spillovers

Strengths

• Focuses on two distinct systemic shock regimes (COVID-19 and trade frictions) for comparative analysis
• Includes specific quantitative findings, such as a volatility persistence parameter (γ = 1.3122) for Hong Kong

Limitations

• Row count is unknown, which may limit suitability assessment
• Column-level documentation is absent; field semantics must be inferred after download

Provenance

Source

figshare

Collection Method

Analysis employing a multi-stage framework combining quantile-based tail correlations, vector autoregressions, GARCH models, and dyadic Logit specifications.

Geography

Nine developed REIT markets, including Hong Kong, the United States, Japan, France, and the United Kingdom.