Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns
Emmanuel Anoruo ()
International Real Estate Review, 2019, vol. 22, issue 4, 513-534
This study examines the causal relationship between gold and real estate investment trust (REIT) returns. In particular, the paper uses a nonparametric causality-in-quantile approach to explore whether gold could serve as a hedging tool against movements in REIT returns. The results provide supportive evidence of bidirectional and asymmetric causality-in-variance between gold and REIT returns. There is evidence of asymmetric causality-in-mean between gold and All REITs, and equity REIT returns. The results from the full sample nonlinear Granger causality test indicate that gold and REIT returns have a causal influence on each other. Taken together, the results imply that gold investment could serve as a hedge against volatilities in the REIT market and vice versa.
Keywords: Gold; REITs; Causality-in-Mean; Causality-in-Variance; Hedging (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ire:issued:v:22:n:04:2019:p:513-534
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