The dynamic of linkages of Islamic REITs in mixed-asset portfolios in Malaysia. (1st September 2016)

• Record Type: Journal Article
• Authors: Rozman, Ahmad Tajjudin; Razali, Muhammad Najib; Azmi, Nurul Afiqah; Ali, Hishamuddin Mohd.
• Is Part Of: Pacific rim property research journal. Volume 22:Number 3(2016)
• Page Start: 245
• Page End: 265
• Publication Date: 2016-09-01
• Subjects: Islamic REITs -- Malaysia -- linkages -- REITs; Land use -- Pacific Area -- Periodicals; Real estate business -- Pacific Area -- Periodicals; Real estate investment -- Pacific Area -- Periodicals; Land use; Real estate business; Real estate investment; Pacific Area; Periodicals; 333.33091823
• DOI: 10.1080/14445921.2016.1235758
• Languages: English
• ISSNs: 1444-5921

Abstract

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.