{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,19]],"date-time":"2026-05-19T16:30:59Z","timestamp":1779208259886,"version":"3.51.4"},"reference-count":83,"publisher":"Emerald","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2026,1,7]]},"abstract":"<jats:sec>\n                    <jats:title>Purpose<\/jats:title>\n                    <jats:p>We examined the dynamic volatility connectedness and diversification strategies among US real estate investment trusts (REITs) and green finance indices.<\/jats:p>\n                  <\/jats:sec>\n                  <jats:sec>\n                    <jats:title>Design\/methodology\/approach<\/jats:title>\n                    <jats:p>The DCC-GARCH dynamic connectedness framework and he DCC-GARCH t-copula model were employed in this study.<\/jats:p>\n                  <\/jats:sec>\n                  <jats:sec>\n                    <jats:title>Findings<\/jats:title>\n                    <jats:p>Using daily data from 2,206 observations spanning from 2 January 2015 to 31 January 2023 this paper presents the following findings: (1) cross-market spillovers exhibited a high correlation and significant fluctuations, particularly during extreme events; (2) our analysis confirmed that REIT acted as net receivers from other green indices, with the S&amp;P North America Large-MidCap Carbon Efficient Index dominating the in-network volatility spillover; (3) this observation suggests asymmetric spillovers between the two markets and (4) a portfolio analysis was conducted using the DCC-GARCH t-copula framework to estimate hedging ratios and portfolio weights for these indices. When REIT and the Dow Jones US Select ESG REIT Index were simultaneously added to a risk-hedged portfolio, our findings indicated that no risk-hedging effect could be achieved. Moreover, the cost and performance of hedging green assets using REIT were found to be comparable.<\/jats:p>\n                  <\/jats:sec>\n                  <jats:sec>\n                    <jats:title>Originality\/value<\/jats:title>\n                    <jats:p>We first examined the dynamic volatility connectedness and diversification strategies among US REITs and green finance indices. The outcomes of this study carry practical implications for market participants.<\/jats:p>\n                  <\/jats:sec>","DOI":"10.1108\/k-12-2023-2653","type":"journal-article","created":{"date-parts":[[2024,9,12]],"date-time":"2024-09-12T11:48:09Z","timestamp":1726141689000},"page":"128-154","source":"Crossref","is-referenced-by-count":8,"title":["Risk transmission and diversification strategies between US real estate investment trusts (REITs) and green finance indices"],"prefix":"10.1108","volume":"55","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5437-2710","authenticated-orcid":true,"given":"Hongjun","family":"Zeng","sequence":"first","affiliation":[{"name":"Department of Financial Planning and Tax, School of Accounting, Information Systems and Supply Chain, RMIT University , ,","place":["Melbourne, 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