SINGAPORE REITS WITH ITS RELEVANCE TO NEIGHBOURING COUNTRIES

Abstract

This paper aims to investigate how macroeconomic conditions will affect Singapore Real Estate Investment Trusts’ (SREIT’s) price and returns. In the study, the author uses stock market indices such as the Straits Time Index and MSCI as proxies for measuring changes and movements in macroeconomic conditions. Covering an 8-year study period from January 2007 to December 2015 ensures coverage of the most recent Global Financial Crisis (GFC) to show variance in the model during and after the GFC. This paper utilizes the β concept from the Capital Asset Pricing Model to run a cross-sectional analysis of SREITs and Stock returns. Empirical results show that SREITs are sensitive to 11 of 14 economies, and these market risks are priced in the SREITs. This relationship between macroeconomic condition and returns will prove to be useful to academics pursuing this field of research as well as for investors and portfolio managers who wishes to understand the various countries that have its impacts on SREITs.