Herding in international REITs markets around the COVID-19 pandemic

Abstract

This paper investigates whether investors in international Real Estate Investment Trusts (REITs) markets engage in herding behaviour due to the economic uncertainty induced by the COVID-19 pandemic in 2020. Using a comprehensive sample of 27 countries encompassing both developed and emerging markets, the results show consistent evidence of herding formation in international REITs markets based on both static and time-varying estimates. International herding is mainly driven by herding in developed market REITs. Further analysis provides a direct evidence showing that herding in REITs markets during the pandemic resulted from the economic uncertainty brought on by the global health crisis. A quantile-on-quantile regression reveals that higher uncertainty associated with COVID-19 pandemic intensifies herding.