Herding in International REITs Markets around the COVID-19 Pandemic

Keagile Lesame (), Geoffrey Ngene (), Rangan Gupta and Elie Bouri ()
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Keagile Lesame: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Geoffrey Ngene: Stetson School of Business and Economics, Mercer University, Georgia 31207, USA
Elie Bouri: School of Business, Lebanese American University, Lebanon

No 202218, Working Papers from University of Pretoria, Department of Economics

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)
Pages: 22 pages
Date: 2022-04
New Economics Papers: this item is included in nep-fmk, nep-ore and nep-ure
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Journal Article: Herding in international REITs markets around the COVID-19 pandemic (2024)
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