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Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market

Author

Listed:
  • Ololade Periola-Fatunsin
  • Johnson A. Oliyide
  • Ismail O. Fasanya

    (Research Department, DAWN Commission, Cocoa House, Nigeria)

Abstract

With increasing COVID-19 cases and instability of many financial markets, we examine the role of uncertainty due to infectious diseases in influencing volatility connectedness among Asian Real Estate Investment Trust market. Our result unveils the importance of uncertainty due to pandemic in driving the connectedness among the markets in both the mean and variance. These results carry implications for hedging and portfolio diversification for financial participants.

Suggested Citation

  • Ololade Periola-Fatunsin & Johnson A. Oliyide & Ismail O. Fasanya, 2021. "Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(2), pages 1-5.
    • Handle: RePEc:ayb:jrnael:48
    DOI: 2021/11/06
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    References listed on IDEAS

    as
    1. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
    2. Omokolade Akinsomi, 2020. "How resilient are REITs to a pandemic? The COVID-19 effect," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(1), pages 19-24, July.
    3. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022. "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 347-364.
    2. Victor Elsa Sapphira & Razali Muhammad Najib & Ali Hishamuddin Mohd., 2023. "The Dynamics of the Impact of the Covid-19 Pandemic on Pan-Asia’s Real Estate Investment Trusts," Real Estate Management and Valuation, Sciendo, vol. 31(4), pages 11-22, December.
    3. Ismail Fasanya & Ololade Periola & Abiodun Adetokunbo, 2023. "On the effects of Covid-19 pandemic on stock prices: an imminent global threat," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2231-2248, June.
    4. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    5. Anasuya Haldar & Narayan Sethi, 2022. "The Economic Effects Of Covid-19 Mitigation Policies On Unemployment And Economic Policy Uncertainty," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(Special I), pages 61-84, March.
    6. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    Ololade Periola-Fatunsin; Johnson A. Oliyide; Ismail O. Fasanya;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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