Table 4.

QQRM estimates from COVID-19 cases to REIT returns.

Countries	Australia	Canada	China	France	Germany	Hong Kong	Japan	Netherlands	New Zealand	Singapore	UK	USA
$\tau$ (QQR)
0.05	−1.13655	−2.01914	−0.01892	−1.16171	−0.72640	−0.13841	−0.43289	−0.26179	0.03057	−0.46927	−1.10733	−1.50381
0.10	−1.09299	−1.99081	−0.00668	−1.10713	−0.65884	−0.13215	−0.42402	−0.21988	0.02509	−0.41744	−0.94669	−1.65900
0.15	−1.02211	−1.81314	−0.00407	−0.98704	−0.59037	−0.12352	−0.42356	−0.11485	0.00660	−0.38535	−0.79558	−2.14311
0.20	−0.87338	−1.50611	−0.00189	−0.84197	−0.50411	−0.11560	−0.40037	−0.06721	−0.00499	−0.31585	−0.70061	−2.26474
0.25	−0.72621	−1.22605	−0.00101	−0.64235	−0.46650	−0.09925	−0.36765	−0.05133	−0.01237	−0.27929	−0.60336	−1.99494
0.30	−0.54843	−0.88446	−0.00018	−0.53707	−0.41753	−0.08889	−0.34039	−0.05085	−0.02277	−0.23781	−0.55250	−1.62656
0.35	−0.43011	−0.65465	0.00052	−0.41129	−0.37470	−0.06685	−0.30100	−0.04999	−0.10788	−0.19422	−0.43224	−1.28029
0.40	−0.34009	−0.47661	0.00112	−0.33789	−0.32952	−0.04436	−0.24185	−0.06259	−0.15391	−0.15402	−0.37350	−0.94425
0.45	−0.25823	−0.30789	0.00184	−0.23842	−0.24942	−0.03631	−0.20022	−0.05726	−0.15395	−0.09268	−0.31679	−0.66551
0.50	−0.17806	−0.21170	0.00247	−0.19404	−0.20094	−0.01023	−0.17519	−0.05270	−0.16041	−0.03239	−0.25693	−0.45115
0.55	−0.11427	−0.13953	0.00312	−0.14053	−0.14271	−0.00264	−0.12557	−0.04129	−0.12481	0.02597	−0.18913	−0.30948
0.60	−0.05119	−0.03538	0.00341	−0.07974	−0.06381	0.01627	−0.07268	−0.02826	−0.12278	0.09854	−0.12015	−0.16711
0.65	−0.00507	0.02639	0.00371	0.00253	0.01853	0.02299	−0.01584	−0.00810	−0.09129	0.14936	−0.06158	−0.04103
0.70	0.07694	0.12264	0.00396	0.06686	0.06535	0.04214	0.03967	0.00182	−0.08119	0.19877	0.00141	0.04274
0.75	0.12051	0.21549	0.00419	0.13331	0.11184	0.06086	0.09897	0.00607	−0.07062	0.27961	0.05294	0.18160
0.80	0.18664	0.29805	0.00458	0.19196	0.16304	0.07992	0.14867	0.01717	−0.06275	0.31447	0.14633	0.30261
0.85	0.24063	0.40970	0.00441	0.26811	0.20192	0.08979	0.21402	0.02588	−0.06096	0.36296	0.19307	0.47431
0.90	0.32693	0.55091	0.00377	0.33448	0.23717	0.09968	0.27429	0.03218	−0.05543	0.43129	0.25146	0.62522
0.95	0.39028	0.70711	0.00351	0.40851	0.28860	0.10797	0.33518	0.04243	−0.05272	0.46902	0.31499	0.87446

Notes: The Table displays the average conditional (QQR) relationship between COVID-19 cases' returns and REIT returns. The significance of the QQR coefficients is not integrated with the non-parametric model. Hence, verification of the QQR results is made by the QR estimates. $\tau$ represent quantiles.

For brevity, all estimates for the entire distributions of COVID-19 and REIT returns are not reported. They are available upon request.