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Are REITS hedge or safe haven against oil price fall?

Author

Listed:
  • Hanif, Waqas
  • Andraz, Jorge Miguel
  • Gubareva, Mariya
  • Teplova, Tamara

Abstract

This paper studies the hedge against falling oil prices and the safe haven properties of fourteen major country-specific real estate investment trusts (REITs) indices for the Asian, American, European, and worldwide geographies. Our analyses are performed from both, returns and conditional volatility perspectives. Our sample spans from January 2016 until August 2022, covering the COVID-19 pandemics and the ongoing Russia-Ukraine military conflict. We find that during COVID-19, only the Japan REITs, in terms of both returns and volatility, act as a hedge for oil whereas the only hedge during the Russia-Ukraine conflict is the Netherland REITs. In addition, we document diverse degrees of safe-haven and diversifiers properties for REITS from diverse geographies along the full sample and the respective sub-samples for both bearish conditions and elevated volatility in the oil market. Our results imply that market regulators should focus on controlling volatility in crude oil and REITs markets, especially throughout times of financial distress, as daily return volatility monitoring is a pivotal requirement for optimized investment management. Our study provides important knowledge for investors, policymakers, and market regulators.

Suggested Citation

  • Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024. "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1-16.
    • Handle: RePEc:eee:reveco:v:89:y:2024:i:pa:p:1-16
    DOI: 10.1016/j.iref.2023.07.052
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    More about this item

    Keywords

    REITS; Oil; Hedge; Safe haven; Covid-19 pandemic; Investment returns; Conditional volatility; Russia-Ukraine military conflict;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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