South African real estate investment trusts prefer Tuesdays
This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained fro...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024
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| Online Access: | https://repository.londonmet.ac.uk/9413/1/jrfm-17-00214-v2.pdf |
| _version_ | 1824446465042284544 |
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| author | Ajayi, Oluwaseun Damilola Gavu, Emmanuel Kofi |
| author_facet | Ajayi, Oluwaseun Damilola Gavu, Emmanuel Kofi |
| author_sort | Ajayi, Oluwaseun Damilola |
| collection | LMU |
| description | This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues. |
| first_indexed | 2024-07-09T04:08:16Z |
| format | Article |
| id | oai:repository.londonmet.ac.uk:9413 |
| institution | London Metropolitan University |
| language | English |
| last_indexed | 2025-02-19T01:15:35Z |
| publishDate | 2024 |
| publisher | MDPI AG |
| record_format | eprints |
| spelling | oai:repository.londonmet.ac.uk:94132024-08-07T09:43:42Z https://repository.londonmet.ac.uk/9413/ South African real estate investment trusts prefer Tuesdays Ajayi, Oluwaseun Damilola Gavu, Emmanuel Kofi 330 Economics 650 Management & auxiliary services This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues. MDPI AG 2024-05-20 Article PeerReviewed text en cc_by_4 https://repository.londonmet.ac.uk/9413/1/jrfm-17-00214-v2.pdf Ajayi, Oluwaseun Damilola and Gavu, Emmanuel Kofi (2024) South African real estate investment trusts prefer Tuesdays. Journal of Risk and Financial Management, 17 (5) (214). pp. 1-18. ISSN 1911-8074 https://doi.org/10.3390/jrfm17050214 10.3390/jrfm17050214 10.3390/jrfm17050214 |
| spellingShingle | 330 Economics 650 Management & auxiliary services Ajayi, Oluwaseun Damilola Gavu, Emmanuel Kofi South African real estate investment trusts prefer Tuesdays |
| title | South African real estate investment trusts prefer Tuesdays |
| title_full | South African real estate investment trusts prefer Tuesdays |
| title_fullStr | South African real estate investment trusts prefer Tuesdays |
| title_full_unstemmed | South African real estate investment trusts prefer Tuesdays |
| title_short | South African real estate investment trusts prefer Tuesdays |
| title_sort | south african real estate investment trusts prefer tuesdays |
| topic | 330 Economics 650 Management & auxiliary services |
| url | https://repository.londonmet.ac.uk/9413/1/jrfm-17-00214-v2.pdf |
| work_keys_str_mv | AT ajayioluwaseundamilola southafricanrealestateinvestmenttrustsprefertuesdays AT gavuemmanuelkofi southafricanrealestateinvestmenttrustsprefertuesdays |