Open AccessInternational Real Estate Review
Author(s) -
Emmanuel Anoruo,
AUTHOR_ID
Publication year - 2019
Publication title -
journal of the asian real estate society
Language(s) - English
Resource type - Journals
ISSN - 1029-6131
DOI - 10.53383/100289
Subject(s) - real estate investment trust , economics , econometrics , equity (law) , financial economics , granger causality , gold as an investment , hedge , real estate , gold standard (test) , nonparametric statistics , monetary economics , finance , mathematics , statistics , ecology , political science , law , biology
This study examines the causal relationship between gold and real estate investment trust (REIT) returns. In particular, the paper uses a nonparametric causality-in-quantile approach to explore whether gold could serve as a hedging tool against movements in REIT returns. The results provide supportive evidence of bidirectional and asymmetric causality-in-variance between gold and REIT returns. There is evidence of asymmetric causality-in-mean between gold and All REITs, and equity REIT returns. The results from the full sample nonlinear Granger causality test indicate that gold and REIT returns have a causal influence on each other. Taken together, the results imply that gold investment could serve as a hedge against volatilities in the REIT market and vice versa.