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Herding in International REITs Markets around the COVID-19 Pandemic

Author

Listed:
  • Keagile Lesame

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Geoffrey Ngene

    (Stetson School of Business and Economics, Mercer University, Georgia 31207, USA)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Elie Bouri

    (School of Business, Lebanese American University, Lebanon)

Abstract

This paper investigates whether investors in international Real Estate Investment Trusts (REITs) markets engage in herding behaviour due to the economic uncertainty induced by the COVID-19 pandemic in 2020. Using a comprehensive sample of 27 countries encompassing both developed and emerging markets, the results show consistent evidence of herding formation in international REITs markets based on both static and time-varying estimates. International herding is mainly driven by herding in developed market REITs. Further analysis provides a direct evidence showing that herding in REITs markets during the pandemic resulted from the economic uncertainty brought on by the global health crisis. A quantile-on-quantile regression reveals that higher uncertainty associated with COVID-19 pandemic intensifies herding.

Suggested Citation

  • Keagile Lesame & Geoffrey Ngene & Rangan Gupta & Elie Bouri, 2022. "Herding in International REITs Markets around the COVID-19 Pandemic," Working Papers 202218, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202218
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    International REITs; Herding; COVID-19; Quantile-on-Quantile Regression; Probit Model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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