Title

Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis

Document Type

Article

Source of Publication

The Journal of Economic Asymmetries

Publication Date

11-1-2022

Abstract

The COVID-19 pandemic has affected all sectors of the economy resulting in unprecedented challenges for market participants, policymakers, and practitioners. This study envisages this issue from the perspective of real estate investment trusts (REITs), which is a relatively less analysed segment. We examine the impact of the COVID-19 pandemic on REIT returns for 12 top REIT regimes spread across America, Asia, and Europe under the bullish, bearish, and normal market conditions over the COVID-19 period (specifically from February 02, 2020, to January 24, 2022). We employ the quantile-on-quantile regression and causality-in-quantiles approach. We document a strong (weak) predictive power of COVID-19 cases on REIT returns within the lower (upper) conditioned quantiles. Our findings are of importance to market participants, practitioners, and regulators across REIT regimes.

ISSN

1703-4949

Publisher

Elsevier BV

Volume

26

First Page

e00257

Last Page

e00257

Disciplines

Business

Keywords

Real estate investment trusts, REITs, REIT regimes, COVID-19, Causality in quantiles, Quantile-on-quantile regression, Asymmetric, Heterogeneous markets

Indexed in Scopus

no

Open Access

no

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