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Herding in international REITs markets around the COVID-19 pandemic

Keagile Lesame, Geoffrey Ngene, Rangan Gupta and Elie Bouri

Research in International Business and Finance, 2024, vol. 67, issue PB

Abstract: This paper investigates whether investors in international Real Estate Investment Trusts (REITs) markets engage in herding behaviour due to the economic uncertainty induced by the COVID-19 pandemic in 2020. Using a comprehensive sample of 27 countries encompassing both developed and emerging markets, the results show consistent evidence of herding formation in international REITs markets based on both static and time-varying estimates. International herding is mainly driven by herding in developed market REITs. Further analysis provides a direct evidence showing that herding in REITs markets during the pandemic resulted from the economic uncertainty brought on by the global health crisis. A quantile-on-quantile regression reveals that higher uncertainty associated with COVID-19 pandemic intensifies herding.

Keywords: International REITs; Herding; COVID-19; Quantile-on-Quantile Regression; Probit Model (search for similar items in EconPapers)
JEL-codes: C22 R3 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Herding in International REITs Markets around the COVID-19 Pandemic (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002738

DOI: 10.1016/j.ribaf.2023.102147

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