Loo, Wei Kang, Ahmad Anuar, Melati, and Ramakrishnan, Suresh (2015) The dynamic linkage among the Asian REITS market. Pacific Rim Property Research Journal, 21 (2). pp. 115-126.

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Abstract

This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.

Item ID:	53327
Item Type:	Article (Research - C1)
ISSN:	2201-6716
Keywords:	real estate investment trust, Asia, cointegration, Granger causality, diversification, global financial crisis
Date Deposited:	22 Jun 2018 01:45
FoR Codes:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management @ 100%
SEO Codes:	91 ECONOMIC FRAMEWORK > 9101 Macroeconomics > 910109 Savings and Investments @ 100%
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