马来西亚伊斯兰房地产投资信托基金和传统房地产投资信托基金的系统风险

Q2 Economics, Econometrics and Finance

Journal of Real Estate Portfolio Management Pub Date : 2015-01-01 DOI:10.1080/10835547.2015.12089973

M. N. Razali, T. Sing

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引用次数: 12

摘要

本文对2005年8月3日至2014年12月19日期间马来西亚伊斯兰房地产投资信托基金(REITs)和传统REITs的系统风险进行了评估。我们的研究结果表明，与其他传统REITs相比，IREITs具有更低的系统风险。当用时变协效率模型估计非随机贝塔时，结果是一致的。我们还发现，新的REIT进入对传统的REIT市场产生了显著的风险降低效果。当我们对Axis REIT从传统REIT转换为IREIT的效果进行测试时，我们发现Axis REIT的系统性风险在转换前和转换后期间显著降低。研究结果表明，较低的β值可以保护IREIT投资者免受无法分散分散的股市波动的影响。

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Systematic Risk of Islamic REITs and Conventional REITs in Malaysia

In this paper, we evaluate the systematic risks of Islamic real estate invest- ment trusts (REITs) and conventional REITs in Ma- laysia for the period from August 3, 2005 to De- cember 19, 2014. Our results show that IREITs have lower systematic risks than other conven- tional REITs. The results are consistent when sto- chastic betas are estimated using time-varying co- efficient models. We also find that new IREIT entry creates significant risk reduction effects for the con- ventional REIT markets. When we test the effects of the conversion of Axis REIT from a conventional REIT to an IREIT, we find that the systematic risks of Axis REIT significant reduce between the peri- ods ''before'' and ''after'' the conversion. The find- ings imply that the lower betas of IREITs could pro- tect IREIT investors against stock market volatilities that could not be diversified away.

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来源期刊

Journal of Real Estate Portfolio Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

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期刊介绍： The Journal of Real Estate Portfolio Management (JREPM) is a publication of the American Real Estate Society (ARES). Its purpose is to disseminate applied research on real estate investment and portfolio management.