Gold market volatility and REITs' returns during tranquil and turbulent episodes

Salisu, Afees A.; Akinsomi, Omokolade; Ametefe, Frank Kwakutse; Hammed, Yinka S.

dc.contributor.author	Salisu, Afees A.
dc.contributor.author	Akinsomi, Omokolade
dc.contributor.author	Ametefe, Frank Kwakutse
dc.contributor.author	Hammed, Yinka S.
dc.date.accessioned	2025-03-19T04:29:15Z
dc.date.available	2025-03-19T04:29:15Z
dc.date.issued	2024-10
dc.description	DATA AVAILABILITY : The authors do not have permission to share data.	en_US
dc.description.abstract	We analyze the predictability of REIT returns based on gold market volatility for 11 sectors and five regions. Our findings show higher gains during volatile gold market conditions, but results vary in tranquil and turbulent periods. We observe sector-specific investment behavior in the REITs market during the pre-GFC, but the post- GFC and COVID periods show otherwise. REITs offer a safe haven ability for gold, but their hedging power is sector-specific. For sensitivity analysis, stock market volatility is used in lieu of gold market volatility, and the outcome provides the expected counterfactual evidence with the REITs market. Our study has numerous policy implications for global financial market stakeholders.	en_US
dc.description.department	Economics	en_US
dc.description.librarian	am2024	en_US
dc.description.sdg	SDG-01:No poverty	en_US
dc.description.sdg	SDG-08:Decent work and economic growth	en_US
dc.description.sdg	SDG-17:Partnerships for the goals	en_US
dc.description.sponsorship	Omokolade Akinsomi would like to acknowledge the Centre of Excellence for Sustainable Construction Industry Growth (SuCIG), CIDB Centre of Excellence, Wits University for providing funding for this research work.	en_US
dc.description.uri	http://www.elsevier.com/locate/irfa	en_US
dc.identifier.citation	Salisu, A.A., Akinsomi, O., Ametefe, F.K. et al. 2024, 'Gold market volatility and REITs' returns during tranquil and turbulent episodes', International Review of Financial Analysis, vol. 95, no. 103348, pp. 1-17. https://DOI.org/10.1016/j.irfa.2024.103348.	en_US
dc.identifier.issn	1057-5219 (print)
dc.identifier.issn	1873-8079 (online)
dc.identifier.other	10.1016/j.irfa.2024.103348
dc.identifier.uri	http://hdl.handle.net/2263/101575
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.rights	© 2024 The Authors. This is an open access article under the CC BY license.	en_US
dc.subject	Real estate investment	en_US
dc.subject	Gold	en_US
dc.subject	Volatility	en_US
dc.subject	Financial crisIs	en_US
dc.subject	Real estate investment trusts (REITs)	en_US
dc.subject	SDG-01: No poverty	en_US
dc.subject	SDG-08: Decent work and economic growth	en_US
dc.subject	SDG-17: Partnerships for the goals	en_US
dc.title	Gold market volatility and REITs' returns during tranquil and turbulent episodes	en_US
dc.type	Article	en_US