Integration between the Asian REIT markets and macroeconomic variables
| Published date | 01 February 2016 |
| Date | 01 February 2016 |
| DOI | https://doi.org/10.1108/JPIF-12-2014-0070 |
| Pages | 68-82 |
| Author | Wei Kang Loo,Melati Ahmad Anuar,Suresh Ramakrishnan |
| Subject Matter | Property management & built environment,Real estate & property,Property valuation & finance |
Integration between the
Asian REIT markets and
macroeconomic variables
Wei Kang Loo, Melati Ahmad Anuar and Suresh Ramakrishnan
Department of Accounting and Finance,
University of Technology Malaysia, Malaysia
Abstract
Purpose –The purpose of this paper is to examine the long-run relationship and short-term linkage
between the Asian REIT markets and their respective macroeconomic variables.
Design/methodology/approach –The data collected comprised total return REIT Index from
Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic
variables from the date of availability of the data until December 2014. The macroeconomic variables
are either available in monthly or quarterly basis, they will be separately tested with REIT Index
respectively to their frequency. All the variables are tested for its stationarity prior to the investigation
of their long-run relationship and short-term linkage using Johansen cointegration test and Granger
causality test.
Findings –The results showed that certain of the emerging REIT markets show a higher degree of
integration with macroeconomic variables in the long run. This implies that the emerging REIT
markets are more sensitive towards the change in macroeconomic environment in relative to the developed
REIT markets.
Practical implications –The paper implied that the distinction of each market structure and their
unique way of policy implementation. The findings can assists policy makers to understand about the
significance of policy implementation on the Asian REIT markets prior to decision making and also for
the portfolio management my asset managers.
Originality/value –The paper is one of the few attempts at assessing the long-term relationship and
short term linkage between the Asian REIT markets and the macroeconomic variables.
Keywords Interest rates, Asian REITs, Johansen cointegration test, Macroeconomic variables,
Causality test, Government spending
Paper type Research paper
1. Introduction
The totalmarket capitalization of the AsianReal Estate Investment Trust (REIT)markets,
established since the year beginning 2000, stood at USD$192.32 billion as of 2014
(Datastream). The significant growth of market capitalization has made the Asian REIT
market an attractive investment option for investors and this had led to the proliferation
of studies emphasizing on market capitalization. Among the seven Asian REIT markets,
the Japan REIT market has the largest market capitalization (USD$88.23 billion), followed
by Singapore (USD$53.96 billion), Hong Kong (USD$26.79 billion), Malaysia (USD$10.20
billion), Thailand (USD$9.67 billion), Taiwan (USD$2.46 billion), and South Korea (USD
$1.02 billion). With relatively smaller market capitalizations, Malaysia, Taiwan, Thailand,
and South Korea are thus considered as emerging REIT markets. In contrast, nearly
90 percent of the total market capitalization of the REIT markets have been contributed
by the developed REIT markets of Japan, Hong Kong, and Singapore.
Japan became the first Asian country to set up the REIT market in November, 2000.
The trend was subsequently followed by South Korea, Singapore, Taiwan, Thailand,
Journal of Property Investment &
Finance
Vol. 34 No. 1, 2016
pp. 68-82
©Emerald Group Publishing Limited
1463-578X
DOI 10.1108/JPIF-12-2014-0070
Received 1 December 2014
Revised 17 May 2015
28 June 2015
Accepted 4 August 2015
The current issue and full text archive of this journal is available on Emerald Insight at:
www.emeraldinsight.com/1463-578X.htm
68
JPIF
34,1
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