This study examines the financial performance of Lodging Real Estate Investment Trusts (REITs) during the COVID-19 pandemic, focusing on the impact of the March 2020 market crash. While existing research primarily addresses general financial markets, we investigate the lodging REIT index and its correlation with seven major financial indices across the U.S. and Europe. The analysis highlights Lodging REITs’ sensitivity to recession-related shocks by using daily data from January 1, 2019, to December 31, 2021, applying risk-adjusted performance measures and a two-stage multivariate volatility EGARCH model. The findings reveal significant increases in conditional volatility in response to negative shocks, persistent correlation dynamics, and quicker mean-reversion behavior compared to other indices. These results underscore Lodging REITs’ resilience and unique characteristics during periods of market uncertainty, offering actionable insights for investors and policymakers.
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