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The dynamic linkage among the Asian REITS market

Loo, Wei Kang and Anuar, Melati Ahmad and Ramakrishnan, Suresh (2015) The dynamic linkage among the Asian REITS market. Pacific Rim Property Research Jourl, 21 (2). pp. 115-126. ISSN 1444-5921

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Official URL: http://dx.doi.org/10.1080/14445921.2015.1058036


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 Type:Article
Uncontrolled Keywords:asia, cointegration, diversification
Subjects:H Social Sciences > HD Industries. Land use. Labor
ID Code:58914
Deposited By: Haliza Zainal
Deposited On:04 Dec 2016 12:07
Last Modified:30 Jan 2017 09:43

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