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Article
Publication date: 12 August 2020

Levent Sumer and Beliz Ozorhon

Under the current Coronavirus Disease 2019 (COVID-19) pandemic circumstances where the gold prices are increasing and the stocks are in free fall, this research aims to…

Abstract

Purpose

Under the current Coronavirus Disease 2019 (COVID-19) pandemic circumstances where the gold prices are increasing and the stocks are in free fall, this research aims to compare the returns of gold prices and Turkish real estate investment trust (T-REIT) index by covering the 2008 global financial crisis, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis periods and examine the effects of the returns of gold and the T-REIT index on each other, a research area that has been limited in the literature.

Design/methodology/approach

For the empirical analysis, vector auto regression model was used, and Augmented Dickey–Fuller and Granger causality tests were also conducted. The average returns were compared with the coefficient of variation analysis.

Findings

The results of the study exhibited that except for the 2008 global financial crisis period, 2018 Turkish currency crisis and 2020 COVID-19 pandemic-based economic crisis, the T-REIT index performs better than gold prices, but it is a riskier instrument, and both investment instruments do not affect the returns of each other. The segmentation of both instruments recommends the fund managers including both tools for diversification of a portfolio.

Research limitations/implications

In Turkey, gold prices are valued based on the fluctuations of the global gold prices, as well as the Turkish Lira/US Dollar currency exchange rates. The effect of the exchange rates may be considered in future studies, and the study may be conducted based on the USD values of the T-REIT index and global gold prices. Further studies may also include the comparison between the T-REIT index returns and a set of commodities such as the Goldman Sachs Commodity Index. This study covered only the first five months of 2020 to analyze the COVID-19 pandemic-based economic crisis initial effects, and a successor study is also recommended by including more new data of the post-COVID-19 pandemic and comparing both results.

Practical implications

The results of the research are expected to contribute to the REIT literature and give insight to investors about their investment choices while including both investment tools in their portfolio, especially for the future conditions of the new COVID-19 pandemic-based economic crisis.

Social implications

The study may provide insight for individuals, especially those who are considering possible investment options in the Turkish real estate market in the post-COVID-19 pandemic crisis.

Originality/value

Gold and real estate have always been considered as important investment instruments. Gold is commonly accepted as a safe haven in the literature, and the REITs are considered as long-term investment instruments by many scholars. While gold prices increase in the windy periods, the returns of real estate investments have more cyclical movements based on mostly the macroeconomic conditions and its integration with stock markets, yet the real estate is a common long-term investment tool, especially because of the regular income it generates for the retirement years. By covering three crisis periods including the COVID-19 pandemic-based economic crisis effects, making research about two important investment tools would contribute to the literature, especially in which the studies in this area were very limited.

Details

Journal of European Real Estate Research , vol. 14 no. 1
Type: Research Article
ISSN: 1753-9269

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Article
Publication date: 6 July 2012

Mohammed S. Khaled and Stephen P. Keef

The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior…

Abstract

Purpose

The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn‐of‐the‐month effect and the January effect. The results are based on 14 countries. The corresponding stock index is used as the reference by which to gauge the anomalous behaviour of each REIT.

Design/methodology/approach

There are two primary dimensions to the statistical design. Between‐country differences, based on Gross Domestic Product (GDP) and a measure of shareholder protection, are examined using a panel model. Differences between the REITs and their stock index are examined using a repeated measures dependent variable design.

Findings

The presence of the four calendar anomalies is apparent in the REITs and the stock indices. There is not sufficient evidence to show that the magnitudes of the Monday, the turn‐of‐the‐month and the January anomalies differ between REITs and stock indices. However, there is evidence that the bad day effect is stronger for REITs compared to stocks.

Research limitations/implications

In terms of market development, the sample of countries is unavoidably constrained. The sample represents developed economies. The degree that these results pertain to less developed economies has yet to be established.

Originality/value

Existing research into the influence of calendar anomalies on REITs is based on US data. This paper examines the influence in 14 countries, including the USA, using a robust and efficient statistical design.

Details

Journal of Property Investment & Finance, vol. 30 no. 4
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 1 February 2013

George Milunovich and Stefan Trück

The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and…

Abstract

Purpose

The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia‐Pacific. The paper also examines excess comovement between the considered national REIT markets on the one hand, and broad equity indices on the other. In particular, the authors are interested in contagion between the considered markets during the 2007‐2009 GFC period in comparison to the entire 2004‐2011 sample period.

Design/methodology/approach

Using an international factor pricing framework similar to Bekaert, Harvey and Ng, the paper defines contagion as excess comovement between two financial markets, after removing the effects of the underlying economic fundamentals, i.e. risk factors, and time‐changing volatility. Controlling for economic factors is important for distinguishing between pure contagion and information spillovers, which may transmit through existing economic channels. The authors then analyse excess correlations between the derived standardized residuals, for REITS and equity markets in order to investigate excess comovement between the indices during the whole sample and GFC period.

Findings

The paper finds no evidence of excess comovement between the considered REIT and equity indices during non‐crisis sample intervals. However, the paper finds contagion between several national REITs and regional or global equity markets during the GFC period. The paper reports statistically significant excess correlations between national REITs and regional and world real estate markets during the entire sample period, while there is only limited evidence to suggest that the correlation amongst REIT markets has increased during the GFC period. The paper concludes that a similar degree of dependence persisted among national REIT markets over the crisis and non‐crisis sample periods for most markets.

Originality/value

Despite the ongoing debate on contagion in financial markets, there is only a small body of literature investigating contagion specifically for property or real estate markets. This is even more surprising, since the GFC originated from a subprime mortgage crisis and was, therefore, heavily related to real estate. The paper extends the literature by testing for contagion between REITs considering eleven national markets across three geographical regions. In contrast, the existing literature is typically constrained to a significantly smaller number of markets. The paper also explicitly takes into account the impact of the recent GFC, and tests for contagion over this period.

Details

Journal of Property Investment & Finance, vol. 31 no. 1
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 17 February 2012

Richard J. Buttimer, Jun Chen and I‐Hsuan Ethan Chiang

The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs).

Abstract

Purpose

The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs).

Design/methodology/approach

The authors use classical regression‐based framework and their multi‐index, multifactor, and conditional extensions to jointly detect asset selectivity and market timing ability of equity REITs and their subcategories. These results are then validated by a nonparametric test.

Findings

It is found that equity REITs in aggregate have some housing market timing ability. Various equity REIT subcategories perform differently: office REITs can discover underpriced properties, while retail, industrial, and office REITs have poor timing ability. Nonparametric tests confirm that equity REITs do not have ability to predict real estate market movements.

Originality/value

Research in REIT performance evaluation is still limited to the asset selectivity aspect. This paper intends to fill this gap by providing empirical evidence of market timing ability of equity REITs using an array of parametric and nonparametric methods.

Details

Managerial Finance, vol. 38 no. 3
Type: Research Article
ISSN: 0307-4358

Keywords

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