Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis
Source of Publication
The Journal of Economic Asymmetries
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.
Real estate investment trusts, REITs, REIT regimes, COVID-19, Causality in quantiles, Quantile-on-quantile regression, Asymmetric, Heterogeneous markets
Bossman, Ahmed; Umar, Zaghum; and Teplova, Tamara, "Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis" (2022). All Works. 5171.
Indexed in Scopus
Open Access Type
Green: A manuscript of this publication is openly available in a repository