Integration between the Asian REIT markets and macroeconomic variables

Abstract

Purpose – The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables. Design/methodology/approach – The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test. Findings – The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets. Practical implications – The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers. Originality/value – The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.

Integrating the African Real Estate Market – An Agenda: the 18th AfRES Conference

“…3 shows a co-integration between REIT return and MMI suggesting that previous time series data (values) of the MMIs can predict significantly the REIT dividend return in both short term and long term. This finding agrees with Swanson et al (2002, Chui et al (2003and Mai'n et al (2016 Loo et al (2016) and Olanrele et al (2017). The finding of REIT return being significantly related to TBR corroborates similar relationship to bond coupon rate reported by Nittayagosetwat and Buranasiri (2012) and Astrious and Bogiazi (2013).…”

“…REITs returns and general stock market Loo, Annuar and Ramakrishan (2016). concluded that emerging REITs markets are more sensitive to macroeconomic variables changes than the established REITs markets i.e.…”

Causal Relationship of N-REITs Dividend Yield and Money Market Indicators: A Case Study of Skye Shelter REIT

“…The Johansen co-integration test result by both Trace and Max-Eigen values in Table 3 shows a co-integration between REIT return and MMI suggesting that previous time series data (values) of the MMIs can predict significantly the REIT dividend return in both short term and long term. This finding agrees with Swanson et al (2002, Chui et al (2003and Mai'n et al (2016 reported by Islam (2003), Loo et al (2016) and Olanrele et al (2017). The finding of REIT return being significantly related to TBR corroborates similar relationship to bond coupon rate reported by Nittayagosetwat and Buranasiri (2012) and Astrious and Bogiazi (2013).…”

The Evaluation of the Impact of Macroeconomic Indicators on the Performance of Listed Real Estate Companies and Reits

“…In fact, developed markets are more stable and thus macroeconomic indicators, such as unemployment rate, inflation, interest rates tend to be less volatile. Several studies highlighted that the REITs of emerging markets are more sensitive to macroeconomic variables compared to the REITs of developed markets due to large spreads and high volatility in inflation, unemployment and interest rates; therefore, that emerging markets are fundamentally different to developed markets (Loo et al, 2016;Akinsomi et al, 2018).…”