Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis

Ahmed Bossman; Zaghum Umar; Tamara Teplova

doi:10.1016/j.jeca.2022.e00257

Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis

J Econ Asymmetries. 2022 Nov:26:e00257. doi: 10.1016/j.jeca.2022.e00257. Epub 2022 Jun 3.

Authors

Ahmed Bossman¹, Zaghum Umar², Tamara Teplova³

Affiliations

¹ Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.
² College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates.
³ National Research University Higher School of Economics, Russian Federation.

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.

Keywords: Asymmetric; COVID-19; Causality in quantiles; Heterogeneous markets; Quantile-on-quantile regression; REIT regimes; REITs; Real estate investment trusts.