Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/223917
Title: RELATIONSHIP BETWEEN REIT RETURNS AND CAPITAL MARKET MATURITY: EVIDENCE FROM FOUR ASIAN MARKETS
Authors: BUI HA VAN HUONG
Keywords: Real Estate
RE
Masaki Mori
2017/2018 RE
Asian REIT
Capital market
Capital market maturity
REIT
REIT returns
Issue Date: 2-May-2018
Citation: BUI HA VAN HUONG (2018-05-02). RELATIONSHIP BETWEEN REIT RETURNS AND CAPITAL MARKET MATURITY: EVIDENCE FROM FOUR ASIAN MARKETS. ScholarBank@NUS Repository.
Abstract: Purpose – This paper aims to study the relationship between risk-adjusted return of REIT indices and the maturity level of the debt and equity markets in four Asian economies, namely Japan, Singapore, Hong Kong and Malaysia. Methodology – Sharpe ratio of REIT indices are first calculated for each REIT market. Two indices are constructed to measure the development level of debt and equity markets in each economy. Panel, sub-sample and sub- period regressions are carried out to examine the impact of capital market development level on REIT performance. The overall timeframe of the panel data is from 2003 to 2016. However, the timeframe for each economy varies, subjected to data availability. Findings – The regression results show that the impact of capital market development level on the returns of REIT market is only significant in developed markets such as Hong Kong, Japan and Singapore. This study also finds out that REIT returns in Hong Kong have a strong positive correlation with debt market maturity, whereas those in Japan and Singapore have a strong negative correlation with equity market maturity. In addition, REIT returns become less sensitive to capital market maturity over time. Practical Implications – This paper provides empirical evidence on the influence of capital market development level on the returns of REITs in Asia, which has not been discussed in past literature. The findings also assist policy makers and investors in making informed decision on regulation and investment in Asian REIT market.
URI: https://scholarbank.nus.edu.sg/handle/10635/223917
Appears in Collections:Bachelor's Theses

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