This paper examines the quantile connectedness between Real Estate Investment Trusts (REITs), housing market sentiment, and stock market sentiment in the U.S. over the period between January 2014 and June 2022 using the quantile vector autoregression (QVAR) model. We find modest spillover...

This study uses a quantile-on-quantile regression framework to establish a link between investor sentiment proxied by market turnover and stock returns in G7 countries. The QQ analysis results reveal that the impact of investor sentiment on future stock returns is asymmetric and varies across...