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