What Property-Sector REITs are Defensive During the COVID-19 Pandemic? Evidence from the U.S

The paper employs the dynamic conditional correlations bivariate (DCC-GJR-GARCH) model to examine whether the REITs sector can be a defensive asset during the spread time of COVID-19 pandemic by using daily data from January 21, 2020 to May 11, 2023. Evidence indicates that the betas worked asymmetrically in up and down markets in the sense that the systematic risk of all 12 REITs sectors included the data centers, diversified, industrial, residential, self-storage, and timber, suggesting that the shocks from bad news caused less volatility than those from good news, means behaved as defensive assets in the sample period under discussion.