Table 2.

Test statistics from quantile causality test on REITs-COVID-19 cases.

Countries $\tau$	Australia	Canada	China	France	Germany	Hong Kong	Japan	Netherlands	New Zealand	Singapore	UK	USA
0.05	1.9545*	3.2576***	0.6129	1.2069	1.3631	0.6217	3.9885***	1.8718**	3.7544***	1.1752	2.3818**	2.8485***
0.10	2.2320**	2.5114**	0.3268	1.2555	1.3225	0.6477	3.2412***	2.0961**	2.9578***	1.4796	1.8997*	2.4521**
0.15	2.1518**	2.0184**	0.5433	1.8978**	1.3551	0.9461	2.7070***	2.0157**	2.4007**	1.0799	1.6315	2.3311**
0.20	1.8583*	2.0197**	0.6725	2.4378**	1.5280	0.8699	2.6738***	2.1047**	2.0340**	1.0834	1.3992	2.2086**
0.25	1.4991	2.2575**	0.6292	2.6399***	1.4740	0.8219	2.3289**	2.0407**	1.9348**	1.1874	1.2050	1.7996**
0.30	1.1539	1.7974*	0.4421	1.6028	1.5083	0.7691	2.0977**	2.0505**	2.1066**	1.0401	1.3566	1.9116*
0.35	1.0093	2.4718**	0.6910	1.9255*	1.5678	0.9223	2.5653**	1.8872*	2.5421**	1.4108	1.4571	1.8513*
0.40	1.2795	1.3268	0.5979	1.3309	1.8332*	0.8232	2.4511**	1.7303*	2.1662**	1.3333	1.0795	1.8300*
0.45	1.1300	1.1721	0.5637	0.9906	1.6705*	0.6856	2.3281**	1.4465	1.7609*	1.1764	1.1982	1.5616
0.50	0.9060	1.1274	0.5380	0.7521	1.8007*	0.6425	2.4761**	1.2971	1.5613	1.0481	1.0597	1.6110
0.55	0.7588	1.0848	0.5631	0.9110	1.5623	0.7758	2.2530**	1.2258	1.4429	1.1843	1.0853	1.6474*
0.60	0.9126	0.9129	0.6052	0.7844	1.7053*	0.9180	2.1782**	0.9913	1.5976	0.9543	0.8623	1.6098*
0.65	0.9171	0.7771	0.5170	0.9219	1.4248	0.6722	1.5421	0.8058	1.4190	1.2876	0.8935	1.7054*
0.70	1.1631	1.0274	0.5025	0.7454	0.9690	0.4997	1.1719	0.8926	1.7584*	1.0512	0.9875	1.5564
0.75	0.9447	0.8511	0.3838	0.8542	0.6033	0.4893	1.2031	1.0970	1.7627*	0.8873	0.5092	1.2705
0.80	0.9779	0.7262	0.2369	0.6764	0.8188	0.4096	0.9534	1.0526	1.3086	0.8915	0.6887	0.7864
0.85	1.1367	0.9720	0.2019	0.6324	0.7999	0.4607	0.8296	0.8082	1.1834	0.9034	0.6058	0.7724
0.90	0.6605	0.7276	0.2949	0.6346	0.6840	0.7115	0.7196	0.5711	0.9639	0.4198	0.5180	0.4489
0.95	0.3407	0.3717	0.3293	0.1861	0.1608	0.2174	1.0293	0.6334	0.8527	0.3771	0.3971	0.1150

Notes:$\tau$ represent quantiles; test statistic is tested at the 5%, where critical value = 1.96; [***], [**], [*], are [1%], [5%], and [10%] respective significance levels for critical values of 2.567, 1.96, and 1.645.