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

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Authors

Salisu, Afees A.
Akinsomi, Omokolade
Ametefe, Frank Kwakutse
Hammed, Yinka S.

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

We analyze the predictability of REIT 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 behavior 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.

Description

DATA AVAILABILITY : The authors do not have permission to share data.

Keywords

Real estate investment, Gold, Volatility, Financial crisIs, Real estate investment trusts (REITs), SDG-01: No poverty, SDG-08: Decent work and economic growth, SDG-17: Partnerships for the goals

Sustainable Development Goals

SDG-01:No poverty
SDG-08:Decent work and economic growth
SDG-17:Partnerships for the goals

Citation

Salisu, A.A., Akinsomi, O., Ametefe, F.K. et al. 2024, 'Gold market volatility and REITs' returns during tranquil and turbulent episodes', International Review of Financial Analysis, vol. 95, no. 103348, pp. 1-17. https://DOI.org/10.1016/j.irfa.2024.103348.