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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
American Real Estate Society
2015
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/56202/1/MuhammadNajibMohamedRazali2015_Systematic%20risk%20of%20islamic%20reits%20and%20conventional%20reits%20in%20Malaysia.pdf http://eprints.utm.my/id/eprint/56202/ |
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| Summary: | 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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