Investment Performance and Integration Analysis of Indirect Real Estate and Other Listed Assets

Abstract

Purpose: This study examined the investment performance and level of integra on between indirect real estate and other listed investment assets in the Nigerian property market. This is to determine the assets' performance and the long-run rela onship between the assets thereby establishing the diversifica on benefits of combining these assets in a mixed-asset por olio in an emerging African market.Design/Methodology/Approach: The data collected comprised quarterly returns on the indirect real estate asset and the other listed investments for the period of January 2009 to December 2020. The other listed investment assets were the five major sectorial indexes in the Nigerian Stock Exchange (NSE) market which are NSE Banking, NSE Oil and Gas, NSE Industrial, NSE Insurance and NSE Consumer. The indices of these sectors were obtained from the daily list of the NSE. While the investment performance of the assets was analysed using holding period return, standard devia on, return-risk ra o and correla on analysis, the Augmented Dickey-Fuller (ADF) and Johansson integra on tests were employed in analyzing the level of integra on between the assets.