TY - JOUR
T1 - Responses of REITs index and commercial property prices to economic uncertainties : a VAR analysis
AU - Gholipour, Hassan F.
AU - Tajaddini, Reza
AU - Farzanegan, Mohammad Reza
AU - Yam, Sharon
PY - 2021
Y1 - 2021
N2 - We use market participants’ perceived uncertainty to investigate the response of real estate investment trusts index (REITs Index) and commercial property prices to shocks in economic uncertainty. Using US quarterly data and applying a vector autoregression (VAR) model, our results show that an increase in market participants’ perceived uncertainty leads to a significant drop in the REITs Index and commercial property prices. In addition, we show that the REITs Index responds quicker to the uncertainty shocks than the commercial property prices. Our findings provide important implications for investors.
AB - We use market participants’ perceived uncertainty to investigate the response of real estate investment trusts index (REITs Index) and commercial property prices to shocks in economic uncertainty. Using US quarterly data and applying a vector autoregression (VAR) model, our results show that an increase in market participants’ perceived uncertainty leads to a significant drop in the REITs Index and commercial property prices. In addition, we show that the REITs Index responds quicker to the uncertainty shocks than the commercial property prices. Our findings provide important implications for investors.
UR - https://hdl.handle.net/1959.7/uws:62512
U2 - 10.1016/j.ribaf.2021.101457
DO - 10.1016/j.ribaf.2021.101457
M3 - Article
SN - 0275-5319
VL - 58
JO - Research in International Business and Finance
JF - Research in International Business and Finance
M1 - 101457
ER -