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.

中文翻译：

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平静和动荡时期黄金市场的波动和房地产投资信托基金的回报


我们根据 11 个行业和 5 个地区的黄金市场波动性来分析 REIT 回报的可预测性。我们的研究结果显示，在波动的黄金市场条件下收益更高，但结果在平静和动荡时期有所不同。我们观察了全球金融危机前 REITs 市场特定行业的投资行为，但全球金融危机后和新冠疫情时期却显示出不同的情况。房地产投资信托基金为黄金提供了避险能力，但其对冲能力是针对特定行业的。对于敏感性分析，使用股票市场波动性代替黄金市场波动性，其结果为 REITs 市场提供了预期的反事实证据。我们的研究对全球金融市场利益相关者具有许多政策意义。