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The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia

Rozman, Ahmad Tajjudin and Mohamed Razali, Muhammad Najib and Azmi, Nurul Afiqah and Mohd. Ali, Hishamuddin (2016) The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia. Pacific Rim Property Research Journal, 22 . pp. 245-265. ISSN 1444-5921

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Official URL: http://dx.doi.org/10.1080/14445921.2016.1235758

Abstract

Islamic REIT (I-REITs) were introduced to the Malaysian stock market approximately ten years ago. This paper assesses dynamic linkages by using the Granger causality test of I-REITs. The study period is from 2008 to 2014. The study concentrates on comparisons between I-REITs and conventional REITs (C-REITs) and provides a better overview of comparisons and linkages of both asset classes. A Cointegration Test determined that a mixed-asset portfolio is cointegrated and shows less diversification benefits between the mixed-asset portfolios. The Granger causality test results has identified that industry portfolio can cause Granger I-REITs’ returns to change. This further confirms that I-REITs have good potential to diversify within any asset classes, including shares and bonds.

Item Type:Article
Additional Information:RADIS System Ref No:PB/2016/08708
Subjects:G Geography. Anthropology. Recreation
Divisions:Geoinformation and Real Estate
ID Code:67066
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:25 Aug 2017 14:25
Last Modified:20 Nov 2017 16:52

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