Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jeca.2022.e00257
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021.
"Return connectedness across asset classes around the COVID-19 outbreak,"
International Review of Financial Analysis, Elsevier, vol. 73(C).
- Elie Bouri & Oguzhan Cepni & David Gabauer & Rangan Gupta, 2020. "Return Connectedness across Asset Classes around the COVID-19 Outbreak," Working Papers 202047, University of Pretoria, Department of Economics.
- Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
- Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
- Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara & Tran, Dang K., 2022. "Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 47(PB).
- Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
- Tweneboah, George & Owusu Junior, Peterson & Kumah, Seyram Pearl, 2020. "Modelling the asymmetric linkages between spot gold prices and African stocks," Research in International Business and Finance, Elsevier, vol. 54(C).
- Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Working Papers hal-03186131, HAL.
- Heyden, Kim J. & Heyden, Thomas, 2021. "Market reactions to the arrival and containment of COVID-19: An event study," Finance Research Letters, Elsevier, vol. 38(C).
- Mehmet Balcilar & Gozde Cerci & Riza Demirer, 2016. "Is there a role for Islamic bonds in global diversification strategies?," Managerial Finance, Emerald Group Publishing, vol. 42(7), pages 656-679, July.
- Niels Joachim Gormsen & Ralph S J Koijen & Nikolai Roussanov, 0.
"Coronavirus: Impact on Stock Prices and Growth Expectations,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 574-597.
- Koijen, Ralph & Gormsen, Niels Joachim, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," CEPR Discussion Papers 14875, C.E.P.R. Discussion Papers.
- Niels J. Gormsen & Ralph S. J. Koijen, 2020. "Coronavirus: Impact on Stock Prices and Growth Expectations," NBER Working Papers 27387, National Bureau of Economic Research, Inc.
- Samuel Kwaku Agyei & Peterson Owusu Junior & Ahmed Bossman & Emmanuel Yaw Arhin & Stefan Cristian Gherghina, 2022. "Situated Information Flow between Food Commodity and Regional Equity Markets: An EEMD-Based Transfer Entropy Analysis," Discrete Dynamics in Nature and Society, Hindawi, vol. 2022, pages 1-28, April.
- Kola Ijasan & Peterson Owusu Junior & George Tweneboah & Tunbosun Oyedokun & Anokye M. Adam, 2021. "Analysing the relationship between global REITs and exchange rates: Fresh evidence from frequency-based quantile regressions," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 58-91, September.
- 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).
- Owusu Junior, Peterson & Tweneboah, George, 2020. "Are there asymmetric linkages between African stocks and exchange rates?," Research in International Business and Finance, Elsevier, vol. 54(C).
- Umar, Zaghum & Aziz, Saqib & Tawil, Dima, 2021.
"The impact of COVID-19 induced panic on the return and volatility of precious metals,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
- Zaghum Umar & Saqib Aziz & Dima Tawil, 2021. "The impact of COVID-19 induced panic on the return and volatility of precious metals," Post-Print hal-03330197, HAL.
- Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara, 2021. "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels," Resources Policy, Elsevier, vol. 73(C).
- Umar, Zaghum & Trabelsi, Nader & Alqahtani, Faisal, 2021. "Connectedness between cryptocurrency and technology sectors: International evidence," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 910-922.
- Ahmed Bossman & Paulo Jorge Silveira Ferreira, 2021. "Information Flow from COVID-19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN-Induced Transfer Entropy Analysis," Complexity, Hindawi, vol. 2021, pages 1-20, December.
- Umar, Zaghum & Gubareva, Mariya & Tran, Dang Khoa & Teplova, Tamara, 2021. "Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 58(C).
- Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Swiss Finance Institute Research Paper Series 21-08, Swiss Finance Institute.
- Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Rong, Li, 2021. "Asymmetric effect of COVID-19 pandemic on E7 stock indices: Evidence from quantile-on-quantile regression approach," Research in International Business and Finance, Elsevier, vol. 58(C).
- HaiYue Liu & Aqsa Manzoor & CangYu Wang & Lei Zhang & Zaira Manzoor, 2020. "The COVID-19 Outbreak and Affected Countries Stock Markets Response," IJERPH, MDPI, vol. 17(8), pages 1-19, April.
- Chong, James & Phillips, G. Michael, 2022. "COVID-19 Losses to the Real Estate Market: An Equity Analysis," Finance Research Letters, Elsevier, vol. 45(C).
- Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Samuel Kwaku Agyei & Anokye Mohammed Adam & Ahmed Bossman & Oliver Asiamah & Peterson Owusu Junior & Roberta Asafo-Adjei & Emmanuel Asafo-Adjei, 2022. "Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? Insights from wavelets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2061682-206, December.
- Walter D'Lima & Luis Arturo Lopez & Archana Pradhan, 2022. "COVID‐19 and housing market effects: Evidence from U.S. shutdown orders," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(2), pages 303-339, June.
- Tobin Hanspal & Annika Weber & Johannes Wohlfart, 2021. "Exposure to the COVID-19 Stock Market Crash and Its Effect on Household Expectations," The Review of Economics and Statistics, MIT Press, vol. 103(5), pages 994-1010, December.
- Peterson Owusu Junior & Siaw Frimpong & Anokye M. Adam & Samuel K. Agyei & Emmanuel N. Gyamfi & Daniel Agyapong & George Tweneboah, 2021. "COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-19, August.
- Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
- Emmanuel Asafo-Adjei & Peterson Owusu Junior & Anokye M. Adam & Paulo Jorge Silveira Ferreira, 2021. "Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic," Complexity, Hindawi, vol. 2021, pages 1-25, October.
- Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
- Samuel Kwaku Agyei & Zangina Isshaq & Siaw Frimpong & Anokye Mohammed Adam & Ahmed Bossman & Oliver Asiamah, 2021. "COVID‐19 and food prices in sub‐Saharan Africa," African Development Review, African Development Bank, vol. 33(S1), pages 102-113, April.
- Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(4), pages 861-887, August.
- Ji, Qiang & Zhang, Dayong & Zhao, Yuqian, 2020. "Searching for safe-haven assets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Martin Hoesli & Richard Malle, 2021. "Commercial real estate prices and COVID-19," Post-Print hal-03713562, HAL.
- Peterson Owusu Junior & Anokye M. Adam & George Tweneboah & David McMillan, 2020. "Connectedness of cryptocurrencies and gold returns: Evidence from frequency-dependent quantile regressions," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1804037-180, January.
- Vincenzo Del Giudice & Pierfrancesco De Paola & Francesco Paolo Del Giudice, 2020. "COVID-19 Infects Real Estate Markets: Short and Mid-Run Effects on Housing Prices in Campania Region (Italy)," Social Sciences, MDPI, vol. 9(7), pages 1-18, July.
- Umar, Zaghum & Jareño, Francisco & González, María de la O, 2021. "The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bossman, Ahmed & Umar, Zaghum & Agyei, Samuel Kwaku & Junior, Peterson Owusu, 2022. "A new ICEEMDAN-based transfer entropy quantifying information flow between real estate and policy uncertainty," Research in Economics, Elsevier, vol. 76(3), pages 189-205.
- Bossman, Ahmed & Agyei, Samuel Kwaku, 2022. "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, vol. 79(C).
- Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
- Boateng, Ebenezer & Adam, Anokye M. & Junior, Peterson Owusu, 2021. "Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic," Resources Policy, Elsevier, vol. 74(C).
- Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
- Armah, Mohammed & Amewu, Godfred, 2024. "Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- Thobekile Qabhobho & Anokye M. Adam & Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Ebenezer Boateng, 2023. "Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 272-283, March.
- Yang, Junhua & Agyei, Samuel Kwaku & Bossman, Ahmed & Gubareva, Mariya & Marfo-Yiadom, Edward, 2024. "Energy, metals, market uncertainties, and ESG stocks: Analysing predictability and safe havens," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
- Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Teplova, Tamara, 2022. "Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression," Finance Research Letters, Elsevier, vol. 48(C).
- Chen, Xiangyu & Tongurai, Jittima, 2024. "Revisiting the interdependences across global base metal futures markets: Evidence during the main waves of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Teplova, Tamara, 2023. "The relationship between global risk aversion and returns from safe-haven assets," Finance Research Letters, Elsevier, vol. 51(C).
- Umar, Zaghum & Aziz, Saqib & Tawil, Dima, 2021.
"The impact of COVID-19 induced panic on the return and volatility of precious metals,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
- Zaghum Umar & Saqib Aziz & Dima Tawil, 2021. "The impact of COVID-19 induced panic on the return and volatility of precious metals," Post-Print hal-03330197, HAL.
- Arturas Kaklauskas & Edmundas Kazimieras Zavadskas & Natalija Lepkova & Saulius Raslanas & Kestutis Dauksys & Ingrida Vetloviene & Ieva Ubarte, 2021. "Sustainable Construction Investment, Real Estate Development, and COVID-19: A Review of Literature in the Field," Sustainability, MDPI, vol. 13(13), pages 1-42, July.
- Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Kyei, Collins Baffour & Cantah, William Godfred & Junior Owusu, Peterson, 2023. "Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting," Resources Policy, Elsevier, vol. 86(PA).
- Asafo-Adjei, Emmanuel & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2024. "Risk synchronization in Australia stock market: A sector analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 582-610.
- Bossman, Ahmed & Gubareva, Mariya & Agyei, Samuel Kwaku & Vo, Xuan Vinh, 2024. "Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 699-719.
- Hasan, Md. Bokhtiar & Rashid, Md. Mamunur & Shafiullah, Muhammad & Sarker, Tapan, 2022. "How resilient are Islamic financial markets during the COVID-19 pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
- Xiangyu Chen & Jittima Tongurai & Pattana Boonchoo, 2024. "Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1035-1063, December.
- Umar, Zaghum & Alwahedi, Wafa & Zaremba, Adam & Vo, Xuan Vinh, 2022. "Return and volatility connectedness of the non-fungible tokens segments," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
More about this item
Keywords
Real estate investment trusts; REITs; REIT regimes; COVID-19; Causality in quantiles; Quantile-on-quantile regression; Asymmetric; Heterogeneous markets;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
- R38 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Government Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000184. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.