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

Ahmed Bossman, Zaghum Umar and Tamara Teplova

The Journal of Economic Asymmetries, 2022, vol. 26, issue C

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.

Keywords: Real estate investment trusts; REITs; REIT regimes; COVID-19; Causality in quantiles; Quantile-on-quantile regression; Asymmetric; Heterogeneous markets (search for similar items in EconPapers)
JEL-codes: G01 G11 G12 R30 R38 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000184

DOI: 10.1016/j.jeca.2022.e00257

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