Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223579
Title: A COINTEGRATION MODEL WITH ERROR CORRECTION FOR THE RELATIONSHIP BETWEEN S-REITS PERFORMANCE AND ECONOMIC VARIABLES
Authors: TOH SIOK PING
Keywords: Real Estate
RE
Ho Kim Hin David
2013/2014 RE
Cointegration
SREIT
Vector Error Correction Model
Issue Date: 26-Nov-2013
Citation: TOH SIOK PING (2013-11-26). A COINTEGRATION MODEL WITH ERROR CORRECTION FOR THE RELATIONSHIP BETWEEN S-REITS PERFORMANCE AND ECONOMIC VARIABLES. ScholarBank@NUS Repository.
Abstract: This study seeks to examine the long run equilibrium relationship and short run dynamics between S-REITs returns and key macroeconomic variables, adopting the Vector Error Correction Model (VECM). Capturing the data since the establishment of S-REITs in September 2002 to July 2013, the results show that the S-REITs’ return are cointegrated with industrial production, inflation and stock market return in the long run. An errorcorrection mechanism is incorporated to account for the short run fluctuations of the SREITs’ return from the equilibrium. Results show that the S-REIT is a good inflation hedging instrument in the long run but that its ability tends to lessen in the short run. The study is useful for retail investors, fund managers and policy makers, where they are made aware of the relationship between the macroeconomic variables and the S-REITs’ return, and of the magnitude of the impact that a variable may cause. This study enables a more well informed investment decision and the adjustment of the investment portfolio according to investment horizon and risk appetite. Lastly, policy makers could make use of this study to better implement policies according to their overall vision for Singapore’s economy.
URI: https://scholarbank.nus.edu.sg/handle/10635/223579
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