How is the equity REIT sector related to other major equity sectors in the presence of abnormal returns and volatilities? A tail effect study

Using the quantile regression method, this paper investigates the dynamic relationships of the equity real estate investment trust (REIT) sector to S&P 500, S&P 400 Mid Cap, S&P 600 Small Cap, NASDAQ, U.S. Small Cap Pure Value, and U.S. Small Cap Pure Growth sectors in the presence of abnormal return and volatility, respectively. The findings consistently show that the tail effects on the dynamic relationships between the equity REIT sector and other major equity sectors are remarkable when its return and volatility are extremely high or low. Moreover, the impacts of the major equity sectors on the equity REITs are asymmetric in the presence of extremely high and low return and volatility.