TY - JOUR
AU - Mpofu, Bekithemba
AU - Moobela, Cletus
AU - Simbanegavi, Prisca
PY - 2023
DA - January
TI - Effects of COVID-19 on the relationship between inflation and REITs returns in South Africa
JO - Journal of Property Investment & Finance
DO - https://doi.org/10.1108/jpif-10-2022-0072
AB - PurposeThis research aims to ascertain the extent to which the coronavirus disease 2019 (COVID-19) epidemic affected the relationship between inflation and real estate investment trusts (REITs) returns in South Africa.Design/methodology/approachThis research used the Johansen cointegration test and effective test in establishing if there is a long-run cointegrating equation between the variables. To ascertain if COVID-19 resulted in a different relationship regime between inflation and REITs returns, the sequential Bai–Perron method was used.FindingsBetween December 2013 and July 2022, there was no evidence of a long-run relationship between inflation and REITs returns, and a restricted vector autoregressive (VAR) model with a period lag for each variable best describing the relationship. Using the sequential Bai–Perron method, for one break, the results show February 2020 as a structural break in the relationship. A cointegrating equation is also found for the period before the structural break and another after the break. Interestingly, the relationship is negative before the break and a new positive relationship (regime) is confirmed after the noted break.Practical implicationsThis research helps REITs stakeholders to position themselves in light of any changes to macroeconomic activity within South Africa.Originality/valueThis is one of the first studies to test inflation relationship with REITs returns in South Africa and the effects of COVID-19 thereof. This research helps REITs stakeholders to position themselves in light of any changes to macroeconomic activity within South Africa.
PB - Emerald Publishing
UR - http://researchrepository.napier.ac.uk/Output/3012462
KW - Coronavirus (COVID-19)
ER