Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic

Abstract

PurposeThis study aims to examine the performance and volatility of Turkey Real Estate Investment Trusts (Turkish REITs) as the world is adjusting to the new normal situation in every aspect of REITs' business activities.Design/methodology/approachThe prices of REITs were acquired from 26 Turkish REITs in this study, but owing to autocorrelation difficulties, 14 Turkish REITs were employed in the analysis. The ten-year long-term bond of the Turkish Government was also utilized and the period of data obtained was based on availability. The performance of Turkish REITs was evaluated using Sharpe's ratio and Treynor's ratio, and the volatility was assessed using MGARCH-BEKK.FindingsThe authors found out that Turkish REITs are constantly underperforming and the REITs' returns remain highly volatile and persistent. In addition, findings showed evidence of volatility clustering and the asymmetric impact of shocks. This study further revealed the uniqueness of each of the Turkish REITs due to the lack of evidence of multicollinearity.Research limitations/implicationsHowever, the limitation of this study is the constraint in obtaining more macro-economic variables of more than ten-years of Turkey's Government bond and the study focused mainly on Turkish REITs.Practical implicationsThe result suggests that since Turkish REITs are not mandatory to payout 90% of taxable earnings as dividends, high performance and an appropriate risk management approach are expected. The need for timely revealing performance of T-REITs and associated uncertainty may trigger better performance as discussed in the relationship between disclosure and performance which is recently emphasized in a recent study by Koelbl (2020). With current performance and associated uncertainty in Turkish REITs, the need to protect Turkish REITs investors is highly essential. The result further educates REIT investors that diversification benefits of REITs tend to reduce in extremely risky situations.Originality/valueThis is the first study in the context of Turkish REITs that comprehensively integrated market capitalization of REITs and simultaneous evaluation of performance and the volatility of the Turkish REITs as the world adjusts to the new normal.

The impact of the COVID-19 crisis on global real estate capital flows

“…There has been an expanding body of knowledge regarding the impact of the COVID-19 crisis on commercial real estate; for direct real estate, non-listed real estate and securitised real estate. This includes Akinsomi (2021), Allan et al (2021), Balemi et al (2021), Carson and Nanda (2020), Chu et al (2022), Florida et al (2021), Hoesli and Malle (2022), Ling et al (2020), Min et al (2022), Mpofu et al (2023), Nanda et al (2022), Pike (2020), Rosenthal et al (2022), Salami et al (2023) and Wen et al (2022). Many of these papers were based on the early stages of COVID-19 and considered aspects including resilience, rent dynamics, real estate prices, performance of real estate vs stocks, impact on retail real estate and sustainability.…”

Navigating Real Estate Investment Trust Performance Dynamics: The Role of Style (Equity vs. Mortgage Real Estate Investment Trusts) and Diversification Amidst the COVID-19 Pandemic

“…REITs serve as a hedge against inflation due to their dividend growth exceeding inflation. COVID-19 adversely affected the performance of REITS although the impact was asymmetric across different property types (Chiu et al 2020;Akinsomi 2021;Cai and Xu 2022;Salami et al 2023;Ampountolas et al 2023).…”

Investigation of Factors Affecting Housing Sales in Turkey in Terms of Covid-19 Period: Count Time Series Model

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