The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective

Omokolade Akinsomi, Mehmet Balcilar, Riza Demirer and Rangan Gupta

Journal of Economics and Finance, 2017, vol. 41, issue 4, No 8, 774-793

Abstract: Abstract This study provides novel insight to the evolution of herd behavior during crisis periods by relating the time-variation in investor herding to speculation in gold, an asset traditionally considered a safe haven during periods of market crisis. We find that higher level of speculation in gold significantly contributes to herding in the emerging South African real estate investment trust (REIT) market, particularly during the mid-2008 to 2011 period, matching the duration and aftermath of the global financial crisis. The evidence of herding in this market is in contrast to the static and two-regime model specifications that fail to detect herding, underscoring the significance of econometric specifications that directly track the time-variation in herd behavior. Our findings suggest that speculative activities in the gold market contain valuable information regarding market fundamentals that drive investor behavior in emerging markets and that regulators should monitor indicators of speculative activities in gold in order to implement circuit breakers in their markets that may help mitigate the negative effects of herd behavior.

Keywords: Gold; Speculative ratio; Investor herding; Markov-switching; Time-varying parameters; REITs; South Africa (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://link.springer.com/10.1007/s12197-016-9381-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-016-9381-7

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-016-9381-7

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().