Abstract
This paper analyses the relationship
between REITs trading volume, REITs returns and stock market returns over the
period starting end of 2016 till mid of 2022. The results of VAR test and
Granger causality test, for the whole sample, support the Return Chasing
Hypothesis (RCH). Investors in REITs, in the Saudi stock market, rely in their
investment decisions on REITs previous returns. Their low informativeness
regarding REITs drive them to chase its returns. Splitting the sample into pre
and post COVID-19 crisis periods don’t provide support for neither the RCH nor
the Information Hypothesis (IH). More informed, institutional, investors are
attracted to invest in the stock market due to the major developments that
occur in the Saudi stock exchange (TADAWUL) after the crisis. This had reduced
the return chasing behavior of investors in the market, but still the
informational and stabilizing role of institutional investors is not attained.
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