HEDGING ABILITIES OF STOCKS, GOLD, AND REAL ESTATE FUNDS AGAINST INFLATION DURING COVID-19: EVIDENCE FROM TÜRKİYE

Abstract

The global economy is struggling with many challenges which started with the recession caused by the COVID-19 disease and continued with the high inflation problem. Investors seek safe havens ain crisis periods and among many investment tools, real estate has always been a preferred tool to protect the purchasing powers of investors under high inflationary periods. By using Gultekin approach derived from the Fama-Schwert regression model, this study investigates the hedging ability of the Real Estate Investment Trusts (REITs) and the Real Estate Investment Funds (REIFs) in Türkiye during the COVID-19 pandemic period (January 2020-December 2021). Additionally, the Turkish REIT (T-REIT) Index, Istanbul Stock Exchange (BIST) 100 Index and gold (ounce/USD) and (gram/TL) were also analyzed in the study as benchmark tools. T-test, Jarque-Bera (1980), and Breusch-Pagan (1979) tests were used to validate the regression models. The results of the research revealed that only 4 of 33 T-REITs and 1 of 15 T-REIFs provided a hedge against inflation, while gold, BIST 100, and the T-REIT index did not have the statistical hedging ability during the COVID-19 period. The results of the research exhibited that, there are very few hedging tools under high inflation, and as a result, the purchasing powers of people are decreasing. Hence, the Central Bank of Türkiye Republic should seriously focus on fighting against inflation. Based on the reviewed past literature, this study seems to be the first research that seeks the hedging ability of the T-REITs and T-REIFs during the COVID-19 period.

Keywords

• Inflation
• Stocks
• Gold
• Real Estate Funds
• Hedging

HİSSE SENETLERİ, ALTIN VE GAYRİMENKUL FONLARININ COVID-19 DÖNEMİNDE ENFLASYONA KARŞI KORUMA YETENEKLERİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ

Abstract

Küresel ekonomi, COVID-19 salgını sebebiyle yaşanan ekonomik daralmanın ardından başta yüksek enflasyon olmak üzere birçok sorunla mücadele etmektedir. Yatırımcılar kriz dönemlerinde güvenli limanlar ararlar ve birçok yatırım aracı arasında gayrimenkul, yüksek enflasyon dönemlerinde yatırımcıların satın alma güçlerini korumak için her zaman cazip bir araç olmuştur. Bu çalışma, Fama-Schwert regresyon modelinden türetilen Gültekin yaklaşımını kullanarak, COVID-19 pandemisi döneminde (Ocak 2020-Aralık 2021) Türkiye'deki Gayrimenkul Yatırım Ortaklıkları ve Gayrimenkul Yatırım Fonlarının riskten korunma kabiliyetini araştırmaktadır. Çalışmada ayrıca T-GYO Endeksi, Borsa İstanbul (BIST) 100 Endeksi ve altın (ons/USD) ve (gram/TL) da karşılaştırma araçları olarak analiz edilmiştir. Regresyon modellerini doğrulamak için t-testi, Jarque-Bera (1980) ve Breusch-Pagan (1979) testleri kullanılmıştır. Araştırma sonuçları, 33 T-GYO'dan sadece 4'ünün ve 15 T-GYO'dan sadece 1'inin enflasyona karşı koruma sağladığını, altın, BİST 100 ve T-GYO endeksinin ise COVID-19 sürecinde istatistiksel olarak korunma kabiliyetine sahip olmadığını ortaya koymuştur. Araştırma sonuçları, yüksek enflasyon altında çok az sayıda riskten korunma aracı bulunduğunu ve bunun sonucunda insanların satın alma güçlerinin düştüğünü göstermiştir. Bu nedenle, Türkiye Cumhuriyet Merkez Bankası ciddi bir şekilde enflasyonla mücadeleye odaklanmalıdır. İncelenen geçmiş literatüre bakıldığında bu çalışma, COVID-19 döneminde Türk gayrimenkul sermaye piyasası araçlarının riskten korunma kabiliyetini araştıran ilk araştırma olma özelliği taşımaktadır.

Keywords

• Enflasyon
• Hisse Senetleri
• Altın
• Gayrimenkul Fonları
• Riskten Korunma

References

1. Bahram, A., Arjun, C, and Kambiz, R. (2004). REIT investments and hedging against inflation, Journal of Real Estate Portfolio Management, 10(2), 97-112, DOI: 10.1080/10835547.2004.12089701
2. Breusch, T. S. and Pagan, A. R. (1979). A simple test for heteroskedasticity and random coefficient variation, Econometrica 47(5), 1287–1294. doi:10.2307/1911963. CBRT (2022). Inflation Report. Accessed at https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Reports/Inflation+Report/2022/Inflation+Report+2022+-+I
3. Chatrath, A. and Liang, Y. (1998). REITs and inflation: A long-run perspective, Journal of Real Estate Research, 16(3), 311-326, DOI: 10.1080/10835547.1998.12090955
4. Çamlibel, M. E., Sümer, L. and Hepşen, A. (2021). Risk-return performances of real estate investment funds in Turkey including the Covid-19 period. International Journal of Strategic Property Management, 25(4), 267-277.
5. Ekincioglu, O. (2003). GMYO endeksinin enflasyona karsi performansinin Fama-Schwert modeli ile incelenmesi, (Yayımlanmamış Yuksek Lisans Tezi), İTÜ Fen Bilimleri Enstitüsü, Istanbul.
6. Erol, I. and Tirtiroglu, D. (2008). The inflation-hedging properties of Turkish REITs, Applied Economics, 40(20), 2671-2696. DOI: 10.1080/00036840600970237
7. Eurostat (2022). Annual inflation up to 7.4% in the euro area. Accessed at https://ec.europa.eu/eurostat/documents/2995521/14497739/2-21042022-AP-EN.pdf
8. Fama, E. and Schwert, W. (1977). Asset returns and inflation, Journal of Financial Economics, 5, 115-146.

9. Fang, W. S. and Wang, K.M. Nguyen, T.B.T, (2008). Is real estate really an inflation hedge? evidence from Taiwan, Asian Economic Journal, 22(2), 209-224.
10. Gültekin, N. B. (1983), Stock market returns and inflation: evidence from other countries. Journal of Finance, 38(1), 49-65.
11. Gurel, S. P. (2020). Hedging ability of gold, stock market and housing: the case of Türkiye. Gülbahar, M. E. ve Yıldız, H. (Ed.) in Challenges in Economics and Business Studies, From Researches to Practices (pp. 105-123). London: IJOPEC Publication Limited, ISBN: 978-1-913809-08-9.
12. GYODER (2022). Indicator. Accessed at https://www.gyoder.org.tr/en/publications/gyoder-indicator Gyourko, J. and Linneman, P. (1988). Owner-occupied homes, income-producing properties, and REITs as inflation hedges: empirical findings. Journal of Real Estate Finance and Economics, 1, 347-372.
13. Hoesli, M. (1994). Real estate as a hedge against inflation: learning from the Swiss case. Journal of Property Valuation & Investment, 12(3), 51-59.
14. Jhen C. (2023). Real estate investment trust (REIT): How they work and how to invest. Available at https://www.investopedia.com/terms/r/reit.asp.
15. Liu, C. H., Hartzell, D. J. and Hoesli, M. E. (1997). International evidence on real estate securities as an inflation hedge. Real Estate Economics, 25(2), 193-221.
16. Jarque, C. M. and Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255–259. doi:10.1016/0165-1765(80)90024-5.
17. Lu, C. and So, R. W. (2001). The relationship between REITs returns and inflation: A vector error correction approach. Review of Quantitative Finance and Accounting, 16, 103–115.
18. Marcato, G. and Brounen, D. (2015). The liquidity of international real estate securities, EPRA Research, 1-27.
19. NAREIT (2020). REIT Market Data, Accessed at https://www.reit.com/data-research/reit-market-data OECD 2022). Consumer Prices, OECD - Updated: 5 April 2022, Accessed at https://www.oecd.org/newsroom/consumer-prices-oecd-updated-5-april-2022.htm
20. Olsson, F., Persson, A. and Ösmark, J. (2008). Hedging against inflation: A study of Russian real estate funds. Hönköpin International Business School, Jönköping University.
21. Onder, Z. (2010). High inflation and returns on residential real estate: evidence from Türkiye, Applied Economics, 32, 917-931.
22. Park, Y. and Bang, W. D. (2012). Direct commercial real estate as an inflation hedge: Korean evidence, Journal of Real Estate Portfolio Management, 18(2), 187-203, DOI: 10.1080/10835547.2012.12089929.
23. Park, J. Y., Mullineaux D. J. and Chew, IK (1990). Are REITs inflation hedges?, The Journal of Real Estate Finance and Economics, 3, 91-103.
24. Preqin (2021). 2021 Preqin Global Real Estate Report. Accessed at https://www.preqin.com/insights/global-reports/2021-preqin-global-real-estate-report
25. Reuters (2021). Why Fed's Powell still thinks high inflation is 'temporary'. https://www.reuters.com/business/why-fed-chair-powell-still-thinks-high-inflation-is-temporary-2021-08-27/
26. Statista (2022). Inflation worldwide - Statistics & Facts. Accessed at https://www.statista.com/topics/8378/inflation-worldwide/
27. Sümer, L. (2023). The world economy and financial system: a paradigm change offering a sustainable approach. Palgrave Macmillan Cham, https://doi.org/10.1007/978-3-031-27530-2, ISBN: 978-3-031-27529-6.
28. Sumer, L. (2022). An alternative interest-free home financing model. International Journal of Housing Markets and Analysis, 16(2), 408-425, https://doi.org/10.1108/IJHMA-02-2022-0027
29. Sümer, L. (2017). Developing a real estate-pension fund investment ecosystem: Turkey real estate fund (Unpublished Ph.D. Thesis). Boğaziçi University Science Institute, Istanbul.
30. Sumer, L. and Ozorhon, B. (2021). Investing in gold or REIT index in Türkiye: Evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis. Journal of European Real Estate Research, 14(1), 84-99. https://doi.org/10.1108/JERER-04-2020-0023
31. Sumer, L., and Ozorhon, B. (2019). The shortcomings of pension system in Türkiye: Solutions with a new model proposed. International Journal of Islamic Economics and Finance Studies, 2, 23-48.
32. Tradingeconomics (2022). Inflation Rate. Accessed at https://tradingeconomics.com/country-list/inflation-rate
33. Turkstat (2022). Enflasyon ve Fiyat. Accessed https://data.tuik.gov.tr/Kategori/GetKategori?p=enflasyon-ve-fiyat-106&dil=1
34. Yobaccio E., Rubens J. H. and Ketcham D. C. (1995). The inflation-hedging properties of risk assets: The case of REITs. The Journal of Real Estate Research, 10(3), 279-296.