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Return Spillover of Asian REITs

Indonesian Capital Market Review

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Title Return Spillover of Asian REITs
 
Creator Leviana Hestiawan; Faculty of Economics and Business, Universitas Indonesia, Indonesia
Ruslan Prijadi; Faculty of Economics and Business, Universitas Indonesia, Indonesia
 
Subject Real estate investment trust (REIT); return spillover; stock market
 
Description This research examines the relationship and direction of return spillover of Asian REITs, between REITs and local stock markets, and its effect towards REIT returns. The samples are from Hong Kong, Japan, South Korea, Malaysia, Singapore, Thailand, and Taiwan. This research uses Diebold and Yilmaz’s technique to measure the relationship and direction of return spillover between asset classes. The method also uses OLS regression to test the effects of return spillover on REIT returns. The results show that connectedness between Asian markets is low. Japan and Singapore are the strongest influencers. Low connectedness was also found between REITs and the local stock market. In general, net return spillover from Asian REIT markets significantly influence REITs’ return. The results imply that the growth of REIT markets depends on the attractiveness of capital markets in a country. Regulators in developing countries need to improve the capital market environment to enable REIT markets to flourish.
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2020-07-23
 
Type —
 
Format application/pdf
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/12238
 
Source Indonesian Capital Market Review; Vol 12, No 2 (2020): July 2020 (in press)
 
Language en