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Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic

Monsurat Ayojimi Salami (Department of Real Estate Development and Management, Faculty of Applied Sciences, Ankara University, Ankara, Turkey)
Harun Tanrivermiş (Department of Real Estate Development and Management, Faculty of Applied Sciences, Ankara University, Ankara, Turkey)
Yeşim Tanrivermiş (Department of Real Estate Development and Management, Faculty of Applied Sciences, Ankara University, Ankara, Turkey)

Journal of Property Investment & Finance

ISSN: 1463-578X

Article publication date: 21 July 2022

Issue publication date: 7 August 2023

543

Abstract

Purpose

This study aims to examine the performance and volatility of Turkey Real Estate Investment Trusts (Turkish REITs) as the world is adjusting to the new normal situation in every aspect of REITs' business activities.

Design/methodology/approach

The prices of REITs were acquired from 26 Turkish REITs in this study, but owing to autocorrelation difficulties, 14 Turkish REITs were employed in the analysis. The ten-year long-term bond of the Turkish Government was also utilized and the period of data obtained was based on availability. The performance of Turkish REITs was evaluated using Sharpe's ratio and Treynor's ratio, and the volatility was assessed using MGARCH-BEKK.

Findings

The authors found out that Turkish REITs are constantly underperforming and the REITs' returns remain highly volatile and persistent. In addition, findings showed evidence of volatility clustering and the asymmetric impact of shocks. This study further revealed the uniqueness of each of the Turkish REITs due to the lack of evidence of multicollinearity.

Research limitations/implications

However, the limitation of this study is the constraint in obtaining more macro-economic variables of more than ten-years of Turkey's Government bond and the study focused mainly on Turkish REITs.

Practical implications

The result suggests that since Turkish REITs are not mandatory to payout 90% of taxable earnings as dividends, high performance and an appropriate risk management approach are expected. The need for timely revealing performance of T-REITs and associated uncertainty may trigger better performance as discussed in the relationship between disclosure and performance which is recently emphasized in a recent study by Koelbl (2020). With current performance and associated uncertainty in Turkish REITs, the need to protect Turkish REITs investors is highly essential. The result further educates REIT investors that diversification benefits of REITs tend to reduce in extremely risky situations.

Originality/value

This is the first study in the context of Turkish REITs that comprehensively integrated market capitalization of REITs and simultaneous evaluation of performance and the volatility of the Turkish REITs as the world adjusts to the new normal.

Keywords

Citation

Salami, M.A., Tanrivermiş, H. and Tanrivermiş, Y. (2023), "Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic", Journal of Property Investment & Finance, Vol. 41 No. 5, pp. 473-505. https://doi.org/10.1108/JPIF-02-2022-0017

Publisher

:

Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

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