Melati Ahmad Anuar

The dynamic linkage among the Asian REITS market

This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.

Factors affecting speed of adjustment under different economic conditions: Dynamic capital structure sensitivity analysis

Purpose - – This study aims to examine the existence of capital structure dynamics and speed of adjustment during different economic periods. This study adds to the existing body of literature by investigating the factors influencing adjustment process toward target debt in developing economies. Design/methodology/approach - – By employing two-step generalized method of moment (GMM) and sensitivity analysis, the study highlights critical factors which affect firms’ adjustment mechanism for target debt. Findings - – Dynamic GMM estimations confirm the substance of past leverage on current debt, which recognizes the existence of dynamic capital structure. The findings corroborate that adjustment process is subject to trade-off between convergence rate and cost of being off-target. The fraction of financing of Pakistani firms confirms the pattern of pecking order hypothesis. The outcome of study clearly validates the significance of dynamic trade-off modeling for optimal capital structure. Research limitations/implications - – As more data become available, the authors would extend this study to investigate the sectoral analysis to find how capital structure dynamics are different across sectors and how distinctive behavior of each sector differently affects the adjustment process toward target debt across each sector. In addition, sector-level and macro-economic factors could be incorporated to examine how external factors affect the firm’s speed of adjustment across sectors. Practical implications - – The present study provides valuable insights for banking and corporate sector, mainly in Pakistan. The companies could take into consideration the firm-level factors which affect the adjustment process toward target debt. Likewise, the borrowing and lending procedures could be advanced by complying with dynamic mechanism of speed of adjustment. Furthermore, the findings of this research provide obstinate grounds for future research. Originality/value - – Both the use of dynamic GMM adjustment model and sensitivity analysis along with Sargan test validate the health of instruments and values.

Modeling the volatility of Asian REIT markets

Abstract This paper analyzed the volatility behavior of Asian real estate investment trust (REIT) markets. The autoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample forecasting test. Results showed that the fractional integrated EGARCH model was the best model in forecasting the volatility for most of the Asian REIT markets. The outcome of this study would be useful for REIT investors in understanding the volatility of the Asian REIT markets. Similarly, policy-makers can also make use of this information to create derivate pricing for the future.

Integration between the Asian REIT markets and macroeconomic variables

Purpose - – The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables. Design/methodology/approach - – The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test. Findings - – The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets. Practical implications - – The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers. Originality/value - – The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.

Is refined economic value added more associated with stock return than accounting measures? The Malaysian evidence

The paper tests the hypothesis on whether refined economic value added (REVA) is highly associated with stock return compared to traditional performance measures. The goal of the study is to provide empirical evidence on the relative and incremental information content of REVA and traditional performance measures, such as net income (NI), net operational profit after tax (NOPAT), and earning per share (EPS). The study involves 395 non-financial companies listed in Bursa Malaysia over the period of 2002–2011. Pearson correlation coefficient and panel data single and multiple regression models were employed to analyze the data. The empirical results indicate that the relative information content of the REVA was not greater than that of NI and NOPAT to explain stock returns. NI and NOPAT were highly correlated with stock return compared to REVA. Additionally, the incremental information content test indicated that REVA makes some additional contribution to information content beyond the NI, NOPAT, and EPS. Finally, the panel multiple regression models showed that there was a strong relationship between NI, NOPAT, and REVA with stock return, but there was no meaningful association between EPS and stock returns. Overall, the results do not support the hypothesis that REVA can be considered superior to traditional accounting measures in association with stock returns.

Trading Effect Emerging Stock Markets Risks-Return Volatility Dynamics and Enterprises Economic Exposure

While investigating the role of trading effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns, this research study employs monthly data from Pakistani stock market for the period from 1998 to 2012. For this purpose, three generalized autoregressive conditional heteroskedasticity models were func- tioned: GARCH-M for risks-return tradeoff, GARCH (1, 1) for capturing different volatility dynamics and EGARCH for asymmetric and leverage effect. This study rests on the follow- ing outcomes. Firstly, we unravel that trading effect is flag rising in the debate of risks-return tradeoff. Secondly, in the course of exploring whether the firm trading nature matters from the context of asymmetry and leverage effect, we find that it is certainly the case. Thirdly, trading effect holds considerable role in determining various volatility dynamics. Finally, we expose that macroeconomic variables affect stock returns differently depending upon firm trading nature, hence signifying the role of trading effect.