Abstract
We analyze the predictability of REIT returns based on gold market volatility for 11 sectors and five regions. Our findings show higher gains during volatile gold market conditions, but results vary in tranquil and turbulent periods. We observe sector-specific investment behavior in the REITs market during the pre-GFC, but the post-GFC and COVID periods show otherwise. REITs offer a safe haven ability for gold, but their hedging power is sector-specific. For sensitivity analysis, stock market volatility is used in lieu of gold market volatility, and the outcome provides the expected counterfactual evidence with the REITs market. Our study has numerous policy implications for global financial market stakeholders.
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