The dynamic linkage among the Asian REITS market

Loo, Wei Kang; Anuar, Melati Ahmad; Ramakrishnan, Suresh

doi:10.1080/14445921.2015.1058036

Cited by 3 publications

(2 citation statements)

References 15 publications

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“…These findings are broadly consistent with those evidenced by most market integration studies (e.g., Kanas, 1998;Ghosh et al, 1999;Siklos et al, 2001;Loo et al, 2015), which demonstrate that capital market index series become stationary after differencing once. Accordingly, since unit root tests establish that all sector index levels are individually integrated of order one (I(1)), the cointegration analysis is carried out with these indices because they are all integrated of the same order as required for cointegration.…”

Section: Results Of Unit Root Testssupporting

confidence: 91%

“…They also find evidence of significant short-term interactions between the CDS index spreads of these two sectors. Loo et al (2015) explore the long-run relationship and short-term linkage among the Asian real estate investment trusts (REIT) markets before, during and after global financial crisis of 2008. The Asian REIT markets are found to be cointegrated in the overall study period, crisis period and post-crisis period.…”

Section: Wwwccsenetorg/ijefmentioning

confidence: 99%

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The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

Ahmed¹

2016

IJEF

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The main thrust of this study is to investigate both the long-term and short-term links among sectors of the Egyptian equity market. The empirical analysis is carried out using Johansen's multivariate cointegration analysis and Granger's causality analysis. The investigation period extends from 3 April 2011 to 31 May 2015.The results of cointegration analysis indicate that there exists a single cointegrating vector within the sample sector indices. The Granger's causality analysis shows that the short-term causal relationships between the sector indices are substantially limited and, where they exist, practically unidirectional. By and large, an important implication of these findings is that there is still possibility to obtain gains from portfolio diversification in the short run. Nonetheless, investors with long-term horizon might not be able to benefit from diversifying into the various sectors of the Egyptian market.

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Section: Results Of Unit Root Testssupporting

confidence: 91%

Section: Wwwccsenetorg/ijefmentioning

confidence: 99%

The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

Ahmed¹

2016

IJEF

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Impacts of corporate governance on Asian REITs performance

Chong

Ting

Cheng

2017

Pacific Rim Property Research Journal

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The results indicate that corporate governance not only helps to improve the return on assets (ROA) but also helps to gauge excess returns of REITs even though the Asian REIT industry is a highly regulated industry. The findings also found that REIT organization, remuneration matters and fees decrease the performance of Asian REITs. However, gearing and related party transactions are found to enhance the performance and accelerate the growth of REITs. Besides that, board matters, audit and fees have significant negative impacts on Tobin's q. Also audit is found to reduce the returns of Asian REITs. However, interestingly, the ownership has significant positive impact on Tobin's q. In addition, the block ownership also helps to curtail and mitigate excess returns of REITs in Asia. This also implies that unitholders are generally and minimally protected. The findings imply that the REIT managers face substantial cost in adjusting to equilibrium level whereby the optimum level is always dynamic and not constant, and it persists over time. This also implies that agency costs exist in the existing externally managed REIT structure in Asian REITs. This also implies that Asian REITs could consider redefining the REIT management structure such as the internally managed REIT structure. The findings of this study indicated the need for improvements, transformation and reform in the REIT regime in order to increase the transparency and disclosure of corporate governance of REITs that could facilitate continuous strategic development and growth of REITs in Asia.

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The Return Performance of Real Estate Investment Trusts (REITs) and Portfolio Diversification Benefits

Petris

Alexakis

2020

Recent Advances and Applications in Alternative Investments

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This study describes the emergence and the structure of Real Estate Investment Trusts (REITs) and investigates whether European REITs provide higher risk-adjusted returns and portfolio diversification benefits relative to the market portfolio. The top public listed companies of five (5) established (Belgium, France, Germany, Netherlands, UK), three (3) emerging (Italy, Spain, Ireland) and one (1) nascent (Greece) European REIT markets, are considered over period 2007 – 2018. The empirical findings denote poor performance of most European REITS over the Global Financial Crisis period but strong risk adjusted returns, overall, outperforming the equivalent European stock market indices and bonds over the first years of post - GFC period. In the recent period (2015 – 2018), most European REITs continued to deliver positive but modest risk adjusted returns relative to the previous period. The analysis provides evidence of poor portfolio diversification benefits and weak cross country diversification benefits among the European REITs.

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The dynamic linkage among the Asian REITS market

Cited by 3 publications

References 15 publications

The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

The Dynamic Linkages among Sector Indices: The Case of the Egyptian Stock Market

Impacts of corporate governance on Asian REITs performance

The Return Performance of Real Estate Investment Trusts (REITs) and Portfolio Diversification Benefits

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