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

dc.contributor.authorSalisu, Afees A.
dc.contributor.authorAkinsomi, Omokolade
dc.contributor.authorAmetefe, Frank Kwakutse
dc.contributor.authorHammed, Yinka S.
dc.date.accessioned2025-03-19T04:29:15Z
dc.date.available2025-03-19T04:29:15Z
dc.date.issued2024-10
dc.descriptionDATA AVAILABILITY : The authors do not have permission to share data.en_US
dc.description.abstractWe 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.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianam2024en_US
dc.description.sdgSDG-01:No povertyen_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.sdgSDG-17:Partnerships for the goalsen_US
dc.description.sponsorshipOmokolade Akinsomi would like to acknowledge the Centre of Excellence for Sustainable Construction Industry Growth (SuCIG), CIDB Centre of Excellence, Wits University for providing funding for this research work.en_US
dc.description.urihttp://www.elsevier.com/locate/irfaen_US
dc.identifier.citationSalisu, 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.en_US
dc.identifier.issn1057-5219 (print)
dc.identifier.issn1873-8079 (online)
dc.identifier.other10.1016/j.irfa.2024.103348
dc.identifier.urihttp://hdl.handle.net/2263/101575
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2024 The Authors. This is an open access article under the CC BY license.en_US
dc.subjectReal estate investmenten_US
dc.subjectGolden_US
dc.subjectVolatilityen_US
dc.subjectFinancial crisIsen_US
dc.subjectReal estate investment trusts (REITs)en_US
dc.subjectSDG-01: No povertyen_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.subjectSDG-17: Partnerships for the goalsen_US
dc.titleGold market volatility and REITs' returns during tranquil and turbulent episodesen_US
dc.typeArticleen_US

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