Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market

With increasing COVID-19 cases and instability of many financial markets, we examine the role of uncertainty due to infectious diseases in influencing volatility connectedness among Asian Real Estate Investment Trust market. Our result unveils the importance of uncertainty due to pandemic in driving the connectedness among the markets in both the mean and variance. These results carry implications for hedging and portfolio diversification for financial participants.