The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia
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 (...
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| Format: | Article |
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Taylor & Francis
2016
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| author | Rozman, Ahmad Tajjudin Mohamed Razali, Muhammad Najib Azmi, Nurul Afiqah Mohd. Ali, Hishamuddin |
| author_facet | Rozman, Ahmad Tajjudin Mohamed Razali, Muhammad Najib Azmi, Nurul Afiqah Mohd. Ali, Hishamuddin |
| author_sort | Rozman, Ahmad Tajjudin |
| collection | ePrints |
| description | 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. |
| first_indexed | 2024-03-05T19:58:28Z |
| format | Article |
| id | utm.eprints-67066 |
| institution | Universiti Teknologi Malaysia - ePrints |
| last_indexed | 2024-03-05T19:58:28Z |
| publishDate | 2016 |
| publisher | Taylor & Francis |
| record_format | dspace |
| spelling | utm.eprints-670662017-11-20T08:52:06Z http://eprints.utm.my/67066/ The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia Rozman, Ahmad Tajjudin Mohamed Razali, Muhammad Najib Azmi, Nurul Afiqah Mohd. Ali, Hishamuddin G Geography. Anthropology. Recreation 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. Taylor & Francis 2016-01-10 Article PeerReviewed 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 http://dx.doi.org/10.1080/14445921.2016.1235758 DOI :10.1080/14445921.2016.1235758 |
| spellingShingle | G Geography. Anthropology. Recreation Rozman, Ahmad Tajjudin Mohamed Razali, Muhammad Najib Azmi, Nurul Afiqah Mohd. Ali, Hishamuddin The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title | The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title_full | The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title_fullStr | The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title_full_unstemmed | The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title_short | The dynamic of linkages of Islamic REITs in mixed- asset portfolios in Malaysia |
| title_sort | dynamic of linkages of islamic reits in mixed asset portfolios in malaysia |
| topic | G Geography. Anthropology. Recreation |
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