COVID-19 Impact on the Stock Market Indices’ Performance and the REITs Index

We examine the growth of Lodging REIT’s stock market performance and the stock market indices returns in the U.S. and Europe, considering the crash of March 2020 caused by the COVID-19 pandemic. For this purpose, we employed financial risk-adjusted performance measures and two-stage multivariate volatility GARCH models to measure the impact in 18 Lodging REITs index and the top 7 stock market indices from 2019 to 2021. The empirical findings indicate strong short-run and long-run spillover effects. Both risk-adjusted performance measures and volatility models produce highly correlated scales. Although the Lodging REITs index is sensitive to shocks, it shows some resilience to market changes in confidence levels considering other indices’ higher drawdown loss distribution levels. Findings from the two-stage multivariate GARCH model demonstrate that Lodging REITs’ conditional volatilities increase higher after positive news and behave favorably to initial shocks. Accordingly, Lodging REITs have moderate risk when no exogenous disruptions occur and exhibit the third-lowest unconditional volatility