Uncertainty measures and sector-specific REITs in a regime-switching environment

Demiralay, S. ORCID: 0000-0003-2543-7914 and Kilincarslan, E., 2022. Uncertainty measures and sector-specific REITs in a regime-switching environment. The Journal of Real Estate Finance and Economics. ISSN 0895-5638

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Abstract

In this paper, we attempt to explore the effects of various uncertainty measures – namely, implied volatility (VIX), tail risk (SKEW), economic policy uncertainty (EPU) and partisan conflict (PCI) indices-, on U.S. REITs returns at sector level, using the non-linear Markov regime-switching model. Our empirical results reveal that uncertainty measures have regime-dependent impacts and do not affect the return dynamics of REIT sectors in a uniform way. Office and hotel & lodging REITs exhibit the strongest sensitivity to VIX and EPU, respectively, during bearish market periods. While residential REITs are the most resilient to uncertainties, healthcare REIT returns are negatively affected from all the uncertainty factors only in the low variance regime. Hence, our findings show evidence of asymmetric, non-linear and sector-dependent linkages between REITs and uncertainties. These results provide valuable insights and important implications for REIT investors.

Item Type: Journal article
Publication Title: The Journal of Real Estate Finance and Economics
Creators: Demiralay, S. and Kilincarslan, E.
Publisher: Springer Science and Business Media LLC
Date: 25 March 2022
ISSN: 0895-5638
Identifiers:
NumberType
10.1007/s11146-022-09898-wDOI
1532725Other
Rights: This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s11146-022-09898-w
Divisions: Schools > Nottingham Business School
Record created by: Laura Ward
Date Added: 25 Mar 2022 16:42
Last Modified: 25 Mar 2022 16:42
URI: http://irep.ntu.ac.uk/id/eprint/45974

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