Article: Asymmetric Causality Analysis of the Interactions Between Gold and REIT Returns Author: Emmanuel Anoruo Start Page: 513 Abstract: 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. Keywords Gold, REITs, Causality-in-Mean, Causality-in-Variance, Hedging All articles listed here are available for download in portable document format (PDF). |