{"id":1205,"date":"2020-05-10T20:49:26","date_gmt":"2020-05-10T12:49:26","guid":{"rendered":"http:\/\/localhost:8888\/?p=1205"},"modified":"2025-12-24T20:12:51","modified_gmt":"2025-12-24T12:12:51","slug":"asymmetric-causality-analysis-of-the-interactions-between-gold-and-reit-returns","status":"publish","type":"post","link":"https:\/\/www.gssinst.org\/irer\/2020\/05\/10\/asymmetric-causality-analysis-of-the-interactions-between-gold-and-reit-returns\/","title":{"rendered":"Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns"},"content":{"rendered":"\t\t
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<\/p>

Article<\/div>

Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns<\/p>

Author<\/p>

Start Page \/ End Page<\/p>

Volume<\/p>

Issue Number<\/p>

Year<\/p>

Publication<\/p><\/div>

<\/p>

Emmanuel Anoruo<\/p>

513 \/ 534<\/p>

22<\/p>

4<\/p>

2019<\/p>

International Real Estate Review<\/p><\/div>

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Abstract<\/p>


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.<\/p>

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View PDF -https:\/\/doi.org\/10.53383\/100289<\/strong><\/a><\/p>

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Keywords<\/p>

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Gold, REITs, Causality-in-Mean, Causality-in-Variance, Hedging<\/p><\/div><\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

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Author<\/p>\n

Start Page \/ End Page<\/p>\n

Volume<\/p>\n

Issue Number<\/p>\n

Year<\/p>\n

Publication<\/p>\n<\/div>\n

\n<\/p>\n

Emmanuel Anoruo<\/p>\n

513 \/ 534<\/p>\n

22<\/p>\n

4<\/p>\n

2019<\/p>\n

International Real Estate Review<\/p>\n<\/div>\n

Keywords<\/p>\n

Gold, REITs, Causality-in-Mean, Causality-in-Variance, Hedging<\/p>\n

Download Entire Article.\"download-pdf-large\" <\/a><\/p>\n","protected":false},"author":6,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[196,195],"tags":[],"_links":{"self":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1205"}],"collection":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/comments?post=1205"}],"version-history":[{"count":6,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1205\/revisions"}],"predecessor-version":[{"id":4761,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/1205\/revisions\/4761"}],"wp:attachment":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/media?parent=1205"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/categories?post=1205"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/tags?post=1205"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}