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Updated: Oct 22, 2025

The Collective Trust Game: An Online Group Adaptation of the Trust Game Based on the HoneyComb Paradigm
Published on: October 20, 2022
On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying
Keagile Lesame1, Elie Bouri2, David Gabauer3
1Department of Economics, University of Pretoria, Pretoria 0002, South Africa.
Abstract:
In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.
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