IDEAS home Printed from https://ideas.repec.org/a/wsi/afexxx/v14y2019i04ns2010495219500167.html
   My bibliography  Save this article

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

Author

Listed:
  • RANJEETA SADHWANI

    (Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan)

  • SURESH KUMAR OAD RAJPUT

    (Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan)

  • ASAD ALI-RIND

    (Institut de Recherche en Gestion (IRG), Faculté de Sciences, Economiques et de Gestion, Université Paris-Est Créteil Val de Marne (UPEC), Place de la Porte des Champs, 4 Route de Choisy, 94010 Créteil Cedex, France)

  • MUHAMMAD TAHIR SULEMAN

    (Department of Financial and Business Analysis, Room C208a Commerce Building, Lincoln University, Christchurch, New Zealand)

Abstract

This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.

Suggested Citation

  • Ranjeeta Sadhwani & Suresh Kumar Oad Rajput & Asad Ali-Rind & Muhammad Tahir Suleman, 2019. "DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 1-24, December.
    • Handle: RePEc:wsi:afexxx:v:14:y:2019:i:04:n:s2010495219500167
    DOI: 10.1142/S2010495219500167
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2010495219500167
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2010495219500167?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023. "Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
    2. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
    3. Cepni, Oguzhan & Dul, Wiehan & Gupta, Rangan & Wohar, Mark E., 2021. "The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Xiuqun Chen & Shun-Chi Yu & Xuemei Sun & Dan Wang, 2023. "Investigating the Influence of Brand Communication and Brand Trust on Customer Commitment: An Examination from the Perspective of Customer Perception," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(2), pages 166-195, June.
    5. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2020. "Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note," Working Papers 202099, University of Pretoria, Department of Economics.

    Corrections

    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:wsi:afexxx:v:14:y:2019:i:04:n:s2010495219500167. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/afe/afe.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.