Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis.
J Econ Asymmetries
; 26: e00257, 2022 Nov.
Article
in English
| MEDLINE | ID: covidwho-1882181
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
/
Prognostic study
Language:
English
Journal:
J Econ Asymmetries
Year:
2022
Document Type:
Article
Affiliation country:
J.jeca.2022.e00257
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