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DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

Author

Listed:
  • RANJEETA SADHWANI

    (Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan)

  • SURESH KUMAR OAD RAJPUT

    (Faculty of Management Science, Sukkur IBA University, Airport Road, Sukkur, Sindh, Pakistan)

  • ASAD ALI-RIND

    (Institut de Recherche en Gestion (IRG), Faculté de Sciences, Economiques et de Gestion, Université Paris-Est Créteil Val de Marne (UPEC), Place de la Porte des Champs, 4 Route de Choisy, 94010 Créteil Cedex, France)

  • MUHAMMAD TAHIR SULEMAN

    (Department of Financial and Business Analysis, Room C208a Commerce Building, Lincoln University, Christchurch, New Zealand)

Abstract

This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.

Suggested Citation

  • Ranjeeta Sadhwani & Suresh Kumar Oad Rajput & Asad Ali-Rind & Muhammad Tahir Suleman, 2019. "DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 1-24, December.
    • Handle: RePEc:wsi:afexxx:v:14:y:2019:i:04:n:s2010495219500167
    DOI: 10.1142/S2010495219500167
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    Citations

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    Cited by:

    1. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023. "Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
    2. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
    3. Xiuqun Chen & Shun-Chi Yu & Xuemei Sun & Dan Wang, 2023. "Investigating the Influence of Brand Communication and Brand Trust on Customer Commitment: An Examination from the Perspective of Customer Perception," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(2), pages 166-195, June.
    4. Cepni, Oguzhan & Dul, Wiehan & Gupta, Rangan & Wohar, Mark E., 2021. "The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach," Research in International Business and Finance, Elsevier, vol. 58(C).
    5. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2020. "Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note," Working Papers 202099, University of Pretoria, Department of Economics.

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