Asian REIT Higher-Order Connectedness and Impact of External Shocks

This study examines shock transmission between U.S. and Asian REIT markets using a TVP-VAR time-frequency connectedness framework incorporating higher-order moments (volatility, skewness, kurtosis) and uncertainty factors—geopolitical risk (GPR), economic policy uncertainty (EPU), and climate policy uncertainty (CCPU). Analysis reveals a core-periphery structure where the U.S. REIT index dominates Asian real estate dynamics. Major events—the 2018 Sino-U.S. trade war, COVID-19 pandemic, 2022 geopolitical tensions, and 2023 Israel-Hamas conflict—trigger pronounced connectivity spikes. Uncertainty factors exhibit bidirectional relationships with REIT markets: GPR acts as an asymmetric risk source during geopolitical crises, EPU transmits volatility shocks during the Chinese REIT crisis, whereas CCPU primarily functions as a net recipient. Frequency analysis shows returns exhibit short-term dominance, volatility demonstrates long-term persistence, and kurtosis displays the highest long-term connectedness, indicating tail risks propagate more systematically than asymmetric shocks. Japanese and Chinese REIT indices emerge as consistently vulnerable to external shocks due to structural factors including demographic pressures, capital controls, and carry trade dynamics. Practical applications include minimum-connectedness portfolio strategies reducing investment risk, with Chinese indices serving as optimal hedging instruments. These findings inform policy coordination mechanisms and dynamic risk management strategies for investors and financial stability authorities monitoring systemic risk transmission across global REIT networks.