The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China

Fang, Hao; Chang, Tsangyao; Lee, Yen‐Hsien; Chen, Wei-Jui

doi:10.21511/imfi.13(4-1).2016.11

Cited by 18 publications

(15 citation statements)

References 14 publications

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“…To capture this structural shift and its impact on illiquidity premiums, we split our sample into two sub-samples; December 2007 to June 2009 which is classified as the financial crisis period, and July 2009 to December 2018 which is classified as the post-crisis period. The ARDL bounds test can be applied to studies with a small size (Fang et al 2016), whereas, the Johansen (1988) approach is not suitable for small sample sizes (Mah 2000). Therefore, using the bounds test approach fits our study perfectly in terms of assessing a cointegration relationship, especially within the recession period.…”

Section: Introductionmentioning

confidence: 94%

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Essa

Giouvris

2020

JRFM

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We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling for macroeconomic factors. Both OLS and VAR models indicate that oil price has a significantly positive impact and OVX has a significantly negative impact on premiums, for the full sample and post-crisis period. These relationships are potentially driven by investor sentiments and market liquidity. Oil price has a negative impact on premiums during the crisis period. Using an autoregressive distribution lag model and an error correction model, we analyse long- and short-run elasticities. We find that oil price has a significantly positive impact on premiums both in the long- and short-run, for the full sample and post-crisis period. OVX only has a significantly negative impact in the short-run for the full sample. The reverting mechanism to establish long-run equilibrium is effective for the full sample and post-crisis period. Illiquidity premiums do not show any asymmetric responses to oil price changes but we do find evidence of asymmetric response to OVX changes.

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Section: Introductionmentioning

confidence: 94%

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Essa

Giouvris

2020

JRFM

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“…Liow, Zhou and Ye (2015) indicated that there are reasonable correlation dependencies between real estate securities and stock markets which are affected by macroeconomic factors. According to Fang, Chang, Lee and Chen (2016), the stock index has positive impacts on the REIT index in Japan, Singapore and China. Laopodis (2009) also investigated the interaction of REITs, the stock market and the real economy in the US market from 1971 to 2007 and found that REITs display similar characteristics to the movements in industrial production growth, implying that changes in policies impact the real economy, which in turn affect the returns on real estate stocks.…”

Section: Macroeconomic Factorsmentioning

confidence: 99%

Volume 17 : 2019 Issue 1

Malaysia¹

2019

PMJ

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All rights reserved.No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, or otherwise without the prior permission of the publisher.The views expressed in this publication are those of the author(s) and do not necessarily represent the views of MIP.This journal is a refereed journal. All articles were reviewed by two or three unanimous referees identified by the Institute (MIP).

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“…Nittayagasetwat and Buranasiri (2012) checked the sensitivity of returns on REITs to information on interest rate of bond and stock market returns in US capital market and the study showed that REITs return were insignificantly sensitive to bond and stock information on their interest. Fei, Ding and Deng (2008) Feng et. al.…”

Section: _______________________________________________________ 311mentioning

confidence: 99%

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

Olanrele¹,

Adegunle²,

Fateye³

et al. 2018

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

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This paper examines the relationship between Nigeria equity real estate investment trusts (REITs), with focus on Nigeria First REIT (Skye Shelter) and money market indicators (MMI), such as Treasury bill (TBR), Prime lending rate (PLR), Currency-in-Circulation (CIC), injection to corporate private sector (CPS) and Broad Money Supply to the economy (BMS) in the period 2008-2016 in an attempt to document the statistical significance of the indicators on N-REITs dividend returns. Design/Methodology/Approach-Quarterly data on dividend returns of Skye Shelter REIT were used as proxy for listed N-REITs return, while data on MMI were extracted from published Central Bank of Nigeria (CBN) and National Bureau of Statistics (NBS) bulletins from 2008-2016. The study deployed Augmented Dickey-Fuller test statistic (ADF t-statistic) to test for unit root and stationarity status of deterministic trend in the data collected. The degree of association, the existence of co-integration and the test for statistical significance between N-REITs and MMI were conducted by correlation analysis, Johansen Co-Integration Test and granger causality test of VAR and VECM respectively. Finding: At p-value <0.05; the data passed the ADF t-test using Schwarz information criterion (SIC) at 1 st Difference indicating stationary data series as required for granger causality model, while Trace and Max-Eigen statistics indicate co-integration confirming a long term relationship among the variables. The predicted granger causality analysis of an insignificant long term _______________________________________________________ 308 The 18 th AFRES ANNUAL CONFERENCE 2018 causal relationship and a short run significant causal relationship between N-REITs returns and MMI were confirmed. Practical implications: Information on MMI indicators simulates caution signal and provide informed decision for investors in the Nigeria real estate sector. The study is important to investment analysts and capital market players. Originality/Value: This study is first to investigate the causal relationship of money market indicators and N-REITs returns. Whereas, previous studies examined the performance of indirect property investment including REITs, effects of macroeconomic factors on REITs and MMI in isolation.

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The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China

Cited by 18 publications

References 14 publications

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Volume 17 : 2019 Issue 1

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

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