Gold market volatility and REITs' returns during tranquil and turbulent episodes

Kola Akinsomi, Afees Salisu, Ametefe Frank and Yinka Hammed

ERES from European Real Estate Society (ERES)

Abstract: We analyze the predictability of REITs returns based on gold market volatility for 11 sectors and five regions. Our findings show higher gains during volatile gold market conditions, but results vary in tranquil and turbulent periods. We observe sector-specific investment behaviour in the REITs market during the pre-GFC, but the post-GFC and COVID periods show otherwise. REITs offer a safe haven ability for gold, but their hedging power is sector-specific. For sensitivity analysis, stock market volatility is used in lieu of gold market volatility, and the outcome provides the expected counterfactual evidence with the REITs market. Our study has numerous policy implications for global financial market stakeholders.

Keywords: and financial crisis; Gold; Real Estate Investment; Volatility (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2024-01-01
New Economics Papers: this item is included in nep-rmg
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Journal Article: Gold market volatility and REITs' returns during tranquil and turbulent episodes (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2024-222

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