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Herding Spillover Effects in US REIT Sectors

Author

Listed:
  • Vassilios Babalos

    (Department of Accounting and Finance, University of the Peloponnese, Antikalamos, 24100 Kalamata, Greece)

  • Geoffrey M. Ngene

    (Department of Accounting and Finance, Deese College of Business and Economics, North Carolina A&T State University. 1601 East Market Street, Greensboro, NC 27411, 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 study examines the sector-level herding behavior and herding spillover across eleven US-listed Real Estate Investment Trusts (REITs) sectors from January 4, 1999 to December 8, 2023. A standard linear model shows no herding behavior for all sectors, except for the lodging and resorts sector; whereas, a more robust quantile regression reveals significant herding in all eleven sectors and for the overall market at the lower tails of the distribution of cross-sectional return dispersion. The time-varying parameter ordinary least squares (TV-OLS) approach demonstrates spasmodic switches between herding and anti-herding behaviors during the sample period across all sectors and the overall market. A spillover analysis highlights significant herding spillover effects across REIT sectors. Evidence of negative spillover effects with portfolio diversification benefits is driven by the stable demand for essential REITs, such as residential and healthcare, and the structure of long-term lease contracts for infrastructural, industrial, office, diversified, and regional malls REITs. Our findings entail implications for the decisions of retail and institutional investors and for the insights of regulatory authorities and policymakers.

Suggested Citation

  • Vassilios Babalos & Geoffrey M. Ngene & Rangan Gupta & Elie Bouri, 2025. "Herding Spillover Effects in US REIT Sectors," Working Papers 202531, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202531
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