Abstract
This paper analyses the relationship between REITs trading volume, REITs returns and stock market returns over the period starting end of 2016 till mid of 2022. The results of VAR test and Granger causality test, for the whole sample, support the Return Chasing Hypothesis (RCH). Investors in REITs, in the Saudi stock market, rely in their investment decisions on REITs previous returns. Their low informativeness regarding REITs drive them to chase its returns. Splitting the sample into pre and post COVID-19 crisis periods don’t provide support for neither the RCH nor the Information Hypothesis (IH). More informed, institutional, investors are attracted to invest in the stock market due to the major developments that occur in the Saudi stock exchange (TADAWUL) after the crisis. This had reduced the return chasing behavior of investors in the market, but still the informational and stabilizing role of institutional investors is not attained.
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