Assessing financial and macroeconomic factors influencing the Islamic Real Estate Investment Trusts stock return in Malaysia
The Islamic Real Estate Investment Trust (i-REIT) serves as an alternative Islamicinvestment instrument to sukuk and shariah compliant stock, which observes i-REITexperiencing a significant growth and demand in portfolio property value and Islamicmarket capitalization. The attractiveness of i-REIT h...
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| Format: | thesis |
| Language: | eng |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://ir.upsi.edu.my/detailsg.php?det=7013 |
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| Summary: | The Islamic Real Estate Investment Trust (i-REIT) serves as an alternative Islamicinvestment instrument to sukuk and shariah compliant stock, which observes i-REITexperiencing a significant growth and demand in portfolio property value and Islamicmarket capitalization. The attractiveness of i-REIT has made it to become one of thecommon real estate investments apart from the physical property investment with along-term and cheaper capital for property ownership. Likewise, the continualexpansion of the i-REIT market in Malaysia is making great financial motivation thatexpands the investment spectrum. Therefore, the need to study the driving financial andmacroeconomic interaction force with i-REIT stock return, which in turn furthercontributes to the Islamic finance literature. This study was confined to nine studyvariables and two latent which the financial and macroeconomic factors. The financialfactors comprise the long-term bond yield, systematic risk, stock market index andrental index. Meanwhile on macroeconomic latent as control variables are measured bythe economic growth, interest rate, inflation rate, money supply and foreign exchangerate. The empirical tests adopted in this study are Johansen and Julius co-integration (JJTest), Vector Error Correction Model (VECM), granger causality, impulse responsesfunction, variance decomposition and Exponential Generalized AutoregressiveConditional Heteroskedasticity (EGARCH) model. The empirical analysis shows thatthe macroeconomic variables, systematic risk (: -0.0275) and rental index (: 0.0765)have a significant positive long-run relationship towards the i-REIT stock return.Meanwhile, the granger causality test shows correlation of unidirectional of whichsystematic risk (: 15.5035) and foreign exchange rate (: 13.3725) granger causes i-REIT stock return. Additionally, the EGARCH modelling, signals a negative shock forall the study variables except for stock market index (: 0.0312) showing a positiveshock. It signifies that good news of stock market index will increase i-REIT stockreturn volatility more than bad news of the size evidence of leverage effect. Inconclusion, this study extended multifactor arbitrage pricing theory by including thesystematic risk and rental index factors performing vital roles apart from themacroeconomic variables. This study will be a cornerstone for potential investors inproviding a deeper understanding in comprehension linkage between the financial andmacroeconomic variables and it potentially could offer as an alternatives investmentinstrument in structuring the portfolio. |
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