UPSI Digital Repository (UDRep)
Start | FAQ | About
Menu Icon

QR Code Link :

Type :thesis
Subject :HD Industries. Land use. Labor
Main Author :Choo, William Keng Soon
Title :Assessing financial and macroeconomic factors influencing the Islamic Real Estate Investment Trusts stock return in Malaysia
Place of Production :Tanjong Malim
Publisher :Fakulti Pengurusan dan Ekonomi
Year of Publication :2021
Corporate Name :Universiti Pendidikan Sultan Idris
PDF Guest :Click to view PDF file

Abstract : Universiti Pendidikan Sultan Idris
The Islamic Real Estate Investment Trust (i-REIT) serves as an alternative Islamic investment instrument to sukuk and shariah compliant stock, which observes i-REIT experiencing a significant growth and demand in portfolio property value and Islamic market capitalization. The attractiveness of i-REIT has made it to become one of the common real estate investments apart from the physical property investment with a long-term and cheaper capital for property ownership. Likewise, the continual expansion of the i-REIT market in Malaysia is making great financial motivation that expands the investment spectrum. Therefore, the need to study the driving financial and macroeconomic interaction force with i-REIT stock return, which in turn further contributes to the Islamic finance literature. This study was confined to nine study variables and two latent which the financial and macroeconomic factors. The financial factors comprise the long-term bond yield, systematic risk, stock market index and rental index. Meanwhile on macroeconomic latent as control variables are measured by the economic growth, interest rate, inflation rate, money supply and foreign exchange rate. The empirical tests adopted in this study are Johansen and Julius co-integration (JJ Test), Vector Error Correction Model (VECM), granger causality, impulse responses function, variance decomposition and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The empirical analysis shows that the macroeconomic variables, systematic risk (β: -0.0275) and rental index (β: 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 which systematic risk (β: 15.5035) and foreign exchange rate (β: 13.3725) granger causes i- REIT stock return. Additionally, the EGARCH modelling, signals a negative shock for all the study variables except for stock market index (β: 0.0312) showing a positive shock. It signifies that good news of stock market index will increase i-REIT stock return volatility more than bad news of the size evidence of leverage effect. In conclusion, this study extended multifactor arbitrage pricing theory by including the systematic risk and rental index factors performing vital roles apart from the macroeconomic variables. This study will be a cornerstone for potential investors in providing a deeper understanding in comprehension linkage between the financial and macroeconomic variables and it potentially could offer as an alternatives investment instrument in structuring the portfolio.

References

Aasness, J., Biørn, E., & Skjerpen, T. (1993). Engel functions, panel data, and latent

variables. Econometrica: Journal of the Econometric Society, 1395-1422.

 

Abatan, S. M., & Olayemi, M. (2014). The Role of Statistical Software in Data

Analysis. International Journal of Applied Research and Studies (iJARS) ISSN,

2278-9480.

 

Abbas, G., McMillan, D. G., & Wang, S. (2018). Conditional volatility nexus between

stock markets and macroeconomic variables: Empirical evidence of G-7

countries. Journal of Economic Studies, 45(1), 77-99.

 

Abdelsalam, O., Elnahass, M., & Mollah, S. (2017). Asset Securitization and Risk:

Does Bank Type Matter?. Available at SSRN 2933133.

 

Abdullah, D. V., & Chee, K. (2010). Islamic finance: Understanding its principles and

practices. Marshall Cavendish International Asia Pte Ltd.

 

Abdul-Rahman, Y. (2014). The Art of RF (Riba-Free) Islamic Banking and Finance:

Tools and Techniques for Community-Based Banking. John Wiley & Sons.

 

Abugri, B. A., & Dutta, S. (2014). Are we overestimating REIT idiosyncratic risk?

Analysis of pricing effects and persistence. International Review of Economics

& Finance, 29, 249-259.

 

Acheampong, P., Agalega, E., & Shibu, A. K. (2014). The effect of financial leverage

and market size on stock returns on the Ghana Stock Exchange: evidence from

selected stocks in the manufacturing sector. International Journal of Financial

Research, 5(1), 125.

 

Adam, K., Marcet, A., & Nicolini, J. P. (2016). Stock market volatility and

learning. The Journal of Finance, 71(1), 33-82.

 

Addae-Dapaah, K., & Loh, H. (2005). Exchange rate volatility and international real

estate diversification: A comparison of emerging and developed economies.

Journal of Real Estate Portfolio Management, 11(3), 225-240.

 

Ahearne, A. G., Ammer, J., Doyle, B. M., Kole, L. S., & Martin, R. F. (2005). House

prices and monetary policy: A cross-country study. International finance

discussion papers, 841.

 

Ahmadimousaabad, A., Bajuri, N., Jahanzeb, A., Karami, M., & Rehman, S. (2013).

Trade-off theory, pecking order theory and market timing theory: a

comprehensive review of capital structure theories. International Journal of

Management and Commerce Innovations, 1(1), 11-18.

 

Ajayi, R. A. and Mougoue, M. (1996). On the Dynamic Relation between StockPrices

and Exchange Rates. The Journal of Financial Research, 19, 193-207.

 

Akinsomi, O., Ong, S. E., Ibrahim, M. F., & Newell, G. (2014). The idiosyncratic risks

of a Shariah compliant REIT investor. Journal of Property Research, 31(3),

211-243.

 

Akram Laldin, M. (2008). Islamic financial system: the Malaysian experience and the

way forward. Humanomics, 24(3), 217-238.

 

Al-Aqar Healthcare REIT (2017). Annual Report 2017. Retrieved from

https://www.insage.com.my/Upload/Docs/ALAQAR/ALAQAR%20-

%20AR%202017.pdf#view=Full&pagemode=bookmarks

 

Alcock, J., & Steiner, E. (2016). Fundamental drivers of dependence in REIT

returns. The Journal of Real Estate Finance and Economics, 1-39.

 

Al-Hilali, M. T. U. D., & Khan, M. M. (1996). Noble Quran. English Translation of the

Meaning and Commentary, Saudi Arabia: King Fahd complex for the printing

of the Holy Quran.

 

Allen, M. T., Madura, J., & Springer, T. M. (2000). REIT characteristics and the

sensitivity of REIT returns. Journal of Real Estate Finance and Economics,

21(2), 141-152.

 

Allison, P. (2012). When can you safely ignore multicollinearity. Statistical

Horizons, 5(1).

 

Allison, P. D. (2012). Logistic regression using SAS: Theory and application (2nd ed.).

North Carolina, USA: SAS Institute Inc.

 

Al-Salam REIT (2017). Annual Report 2017 Retrieved from

https://www.insage.com.my/Upload/Docs/ALSREIT/ALSREIT%20AR2017.p

df#view=Full&pagemode=bookmarks

 

Amtiran, P. Y., Indiastuti, R., Nidar, S. R., & Masyita, D. (2017). Macroeconomic

Factors And Stock Returns In APT Framework. International Journal of

Economics & Management, 11.

 

Andersen, T. G., & Bollerslev, T. (2018). Volatility. Edward Elgar Publishing Limited.

 

Anderson, R. I., Benefield, J. D., & Hurst, M. E. (2015). Property-type diversification

and REIT performance: an analysis of operating performance and abnormal

returns. Journal of Economics and Finance, 39(1), 48-74.

 

Ang, J. (2013). Are Sukuk Truly Islamic?. Available at SSRN 2432649.

 

Ang, J. B., & McKibbin, W. J. (2007). Financial liberalization, financial sector

development and growth: evidence from Malaysia. Journal of development

economics, 84(1), 215-233.

 

Ariff, M., & Safari, M. (2015). Valuation of Islamic debt instruments, the Sukuk:

Lessons for market development. Islamic banking and finance–Essays on

corporate finance, efficiency and product development.

 

Askari, H., Iqbal, Z., & Mirakhor, A. (2011). New Issues in Islamic Finance and

Economics: Progress and Challenges (Vol. 753). John Wiley & Sons.

 

Assaf, A. (2015). Long memory and level shifts in REITs returns and volatility.

International Review of Financial Analysis, 42, 172-182.

 

Atkins, A., Niranjan, M., & Gerding, E. (2018). Financial news predicts stock market

volatility better than close price. The Journal of Finance and Data Science, 4(2),

120-137.

 

Axis REIT (2017). Annual Report 2017. Retrieved from

http://dms.irchartnexus.com:81/ebook/ebook_basic.php?id=176

 

Azhar Binti Mohamad, N. E., Saad, N. M., & Bakar, S. (2014). Risk and Real Estate

Investment Trust (REITs) Return: Evidence from Listed Public

Trust. Indonesian Capital Market Review.

 

Azmin, N. A. M., & Shariff, A.M. (2016). The Relationship of Macroeconomic

Variables with REITs’ Performance: The Case of Malaysian Companies.

Journal of Applied Environmental and Biological Sciences, 6(6S), 1-7.

 

Ball, R. J. (2017). Inflation and the Theory of Money. Routledge.

 

Banati, G., van Hofwegen, L., Wander, S., & Tremblay, S. (2015). Interest rate risk of

real estate investment trusts.

 

Bandi, F. M., & Renò, R. (2016). Price and volatility co-jumps. Journal of Financial

Economics, 119(1), 107-146.

 

Bank Negara Malaysia, (2014). Economic Developments In 2014. Retrieved from

http://www.bnm.gov.my/files/publication/ar/en/2014/cp01.pdf

 

Baum, A. (2015). Real estate investment: A strategic approach. Routledge.

 

Baum, A., Mackmin, D., & Nunnington, N. (2017). The income approach to property

valuation. Routledge.

 

Beck, J., Scott, F., & Yelowitz, A. (2012). Concentration and market structure in local

real estate markets. Real Estate Economics, 40(3), 422-460.

 

Bhuyan, R., Kuhle, J. L., Al-Deehani, T. M., & Mahmood, M. (2015). Portfolio

Diversification Benefits Using Real Estate Investment Trusts-An Experiment

with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage

Real Estate Investment Trusts. International Journal of Economics and

Financial Issues, 5(4).

 

Bilgin, R., & Basti, E. (2014). Further Evidence on the Validity of CAPM: the Istanbul

Stock Exchange Application. Inzinerine Ekonomika Engineerin

Economics, 25(1), 5-12.

 

Block, R. L. (2011). Investing in REITs: real estate investment trusts (Vol. 141). John

Wiley & Sons.

 

Bouchouicha, R., & Ftiti, Z. (2012). Real estate markets and the macroeconomy: A

dynamic coherence framework. Economic Modelling, 29(5), 1820-1829.

 

Boyer, R. S. (1978). Optimal foreign exchange market intervention. Journal of Political

Economy, 86(6), 1045-1055.

 

Bredin, D., O’Reilly, G., & Stevenson, S. (2007). Monetary shocks and REIT returns.

The Journal of Real Estate Finance and Economics, 35(3), 315-331.

 

Brooking, A., & Hallowes, C. (2013). Global REIT Markets: Selected case studies,

analysis of structures and performance. South Africa: Rockcastle and Java

Capital.

 

Brounen, D., & de Koning, S. (2013). 50 years of real estate investment trusts: an

international examination of the rise and performance of REITs. Journal of Real

Estate Literature, 20(2), 197-223.

 

Brusov, P., Filatova, T., Orekhova, N., & Eskindarov, M. (2015). Capital Structure:

Modigliani–Miller Theory. In Modern Corporate Finance, Investments and

Taxation (pp. 9-25). Springer, Cham.

 

Bryman, A., & Bell, E. (2015). Business research methods. Oxford University Press,

USA.

 

Burnham, K. P., & Anderson, D. R. (2004). Multimodel inference: understanding AIC

and BIC in model selection. Sociological methods & research, 33(2), 261-304.

 

Bursa Malaysia (2019), FTSE Bursa Malaysia Index Series (v4.7),

https://www.ftse.com/products/downloads/FBMKLCIMR_20180831.pdf

 

Business Daily (2015). Kenya launches third REITS market in Africa. Available at:

https://www.businessdailyafrica.com/markets/Stanlib-Investments-opens-first-

Reits-offer/539552-2924952-114hlagz/index.html [Accessed 29 Jan. 2018].

 

Buttimer Jr, R. J., Chen, J., & Ethan Chiang, I. H. (2012). REIT performance and

market timing ability. Managerial Finance, 38(3), 249-279.

 

Buzacott, J. A. (1975). Economic order quantities with inflation. Journal of the

Operational Research Society, 26(3), 553-558.

 

Caginalp, G., & Desantis, M. (2011). Stock price dynamics: nonlinear trend, volume,

volatility, resistance and money supply. Quantitative Finance, 11(6), 849-861.

 

Case, B., Yang, Y., & Yildirim, Y. (2012). Dynamic correlations among asset classes:

REIT and stock returns. The Journal of Real Estate Finance and

Economics, 44(3), 298-318.

 

Castellani, D. (2018). Mortgage?backed Securitization and SME Lending During the

Financial and Economic Crisis: Evidence from the Italian Cooperative Banking

System. Economic Notes, 47(1), 187-222.

 

Cetorelli, N., & Peristiani, S. (2012). The role of banks in asset securitization. Federal

Reserve Bank of New York Economic Policy Review, 18(2), 47-64.

 

Chan, K. C., Hendershott, P. H., & Sanders, A. B. (1990). Risk and return on real estate:

evidence from equity REITs. Real Estate Economics, 18(4), 431-452.

 

Chang, C. Y., Chou, J. H., & Fung, H. G. (2012). Time dependent behavior of the Asian

and the US REITs around the subprime crisis. Journal of Property Investment

& Finance, 30(3), 282-303.

 

Chang, K. L. (2017). Does REIT index hedge inflation risk? New evidence from the

tail quantile dependences of the Markov-switching GRG copula. The North

American Journal of Economics and Finance, 39, 56-67.

 

Chang, M. C., Hung, J. C., & Nieh, C. C. (2011). Reexamination of capital asset pricing

model (CAPM): An application of quantile regression. African Journal of

Business Management, 5(33), 12684-12690.

 

Chatrath, A., & Liang, Y. (1998). REITs and inflation: a long-run perspective. Journal

of Real Estate Research, 16(3), 311-326.

 

Chatterjee, S., Lubatkin, M. H., Lyon, E. M., & Schulze, W. S. (1999). Toward a

strategic theory of risk premium: Moving beyond CAPM. Academy of

Management Review, 24(3), 556-567.

 

Chen, J. H., Chang, T. T., Ho, C. R., & Diaz, J. F. (2014). Grey relational analysis and

neural network forecasting of REIT returns. Quantitative Finance, 14(11),

2033-2044.

 

Chen, M. C., Tsai, H. J., Sing, T. F., & Yang, C. Y. (2015). Contagion and downside

risk in the REIT market during the subprime mortgage crisis. International

Journal of Strategic Property Management, 19(1), 42-57.

 

Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock

market. Journal of business, 383-403.

 

Chiang, M. C., Tsai, I. C., & Sing, T. F. (2013). Are REITs a good shelter from financial

crises? Evidence from the Asian markets. Journal of Property Investment &

Finance, 31(3), 237-253.

 

Chiang, T. C., & Chen, X. (2017). Stock market activities and industrial production

growth: Evidence from 20 international markets. In Advances in Pacific Basin

business economics and finance (pp. 39-75). Emerald Publishing Limited.

 

Chiu, C. W. J., Harris, R. D., Stoja, E., & Chin, M. (2018). Financial market volatility,

macroeconomic fundamentals and investor sentiment. Journal of Banking &

Finance, 92, 130-145.

 

Chou, Y. H., & Chen, Y. C. (2014). Is the response of REIT returns to monetary policy

asymmetric?. Journal of Real Estate Research, 36(1), 109-135.

 

Chuliá, H., Martens, M., & van Dijk, D. (2010). Asymmetric effects of federal funds

target rate changes on S&P100 stock returns, volatilities and

correlations. Journal of Banking & Finance, 34(4), 834-839.

 

Chung, R., Fung, S., Shilling, J. D., & Simmons–Mosley, T. X. (2016). REIT stock

market volatility and expected returns. Real Estate Economics, 44(4), 968-995.

 

Chuweni, N. N., Eves, C., Hoang, V. N., Isik, I., & Hassan, M. K. (2017). How efficient

are alternative financial institutions? An empirical investigation of Islamic

REITs in Malaysia. Journal of Real Estate Literature, 25(1), 107-139.

 

Coffie, W. (2017). Conditional Heteroscedasticity and Stock Market Returns:

Empirical Evidence from Morocco and BVRM. Journal of Applied Business

and Economics, 19(5), 43-57.

 

Corcoran, P. J. (1987). Explaining the commercial real estate market. The Journal of

Portfolio Management, 13(3), 15-21.

 

Crisan, C., & Borza, A. (2015). Research Methodology-A Quality Assurance

Instrument. Analysis Of Internationalized Masters Of Babes-Bolyai

University. Review of Economic Studies And Research Virgil Madgearu, 8(1),

37.

 

de Carvalho, F. J. C. (2013). Keynes and the endogeneity of money. Review of

Keynesian economics, 1(4), 431-446.

 

De Jong, M., & Fabozzi, F. J. (2019). The Market Risk of Corporate Bonds. The

Journal of Portfolio Management.

 

DeLisle, R. J., Price, S. M., & Sirmans, C. F. (2013). Pricing of volatility risk in

REITs. Journal of Real Estate Research, 35(2), 223-248.

 

Department of Statistics Malaysia (2018). Available at: https://www.dosm.gov.my/v1/

 

Devos, E., Ong, S. E., Spieler, A. C., & Tsang, D. (2013). REIT institutional ownership

dynamics and the financial crisis. The journal of real estate finance and

economics, 47(2), 266-288.

 

Dewandaru, G., Masih, R., Bacha, O. I., & Masih, A. M. M. (2017). The role of Islamic

asset classes in the diversified portfolios: Mean variance spanning

test. Emerging Markets Review, 30, 66-95.

 

di Patti, E. B., & Sette, E. (2016). Did the securitization market freeze affect bank

lending during the financial crisis? Evidence from a credit register. Journal of

Financial Intermediation, 25, 54-76.

 

Diebold, F. X., & Watson, M. W. (1996). Introduction: econometric

forecasting. Journal of Applied Econometrics (1986-1998), 11(5), 453.

 

Diewert, W. E. (1998). Index number issues in the consumer price index. Journal of

Economic Perspectives, 12(1), 47-58.

 

Dusuki, A. W. (2015). Practice and Prospect of Islamic Real Estate Investment Trusts

(IREITs) in Malaysian Islamic Capital Market. Journal of Islamic Economics,

Banking and Finance, 6(2), 25-40.

 

Edelstein, R. H., & Magin, K. (2017). Using the CCAPM with Stochastic Taxation and

Money Supply to Examine US REITs Pricing Bubbles. Journal of Real Estate

Research, 39(4), 441-465.

 

El-Gamal, M. A. (2006). Islamic finance: Law, economics, and practice. Cambridge

University Press.

 

El Mosaid, F., & Boutti, R. (2014). Sukuk and bond performance in Malaysia.

International Journal of Economics and Finance, 6(2), 226-234.

 

Elfakhani, S., & Sidani, Y. M. (2015). Uncertainty or ‘gharar’ in contracts under the

Islamic ethical code. Ali, AJ Handbook of Research on Islamic Business, 126-

131.

 

Emery, R. F. (2018). The bond markets of developing East Asia. Routledge.

 

Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the

variance of United Kingdom inflation. Econometrica: Journal of the

Econometric Society, 987-1007.

 

Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction:

representation, estimation, and testing. Econometrica: journal of the

Econometric Society, 251-276.

 

Ewing, B. T., & Payne, J. E. (2005). The response of real estate investment trust returns

to macroeconomic shocks. Journal of Business Research, 58(3), 293-300.

 

EY Global RealEstate (2018). 2017 Global Market Outlook Trends in real estate private

equity Available at: https://www.ey.com/Publication/vwLUAssets/EY-globalmarket-

outlook-report-2017/$FILE/EY-global-market-outlook-report-

2017.pdf

 

Fabozzi, F. J., Gupta, F., & Markowitz, H. M. (2002). The legacy of modern portfolio

theory. The journal of investing, 11(3), 7-22.

 

Faishal, M., & Eng, S. (2008). Shariah compliance in real estate investment. Journal of

Real Estate Portfolio Management, 14(4), 401-414.

 

Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American

economic review, 71(4), 545-565.

 

Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial

Economics, 5(2), 115-146.

 

Fang, H., Chang, T. Y., Lee, Y. H., & Chen, W. J. (2016). The impact of

macroeconomic factors on the Real Estate Investment Trust Index return on

Japan, Singapore and China. Investment Management and Financial

Innovations, 13(4), 242-253.

 

Farrar, D. E., & Glauber, R. R. (1967). Multicollinearity in regression analysis: the

problem revisited. The Review of Economic and Statistics, 92-107.

 

Fatnassi, I., Slim, C., Ftiti, Z., & Maatoug, A. B. (2014). Effects of monetary policy on

the REIT returns: Evidence from the United Kingdom. Research in

International Business and Finance, 32, 15-26.

 

Feige, E. L. (2012). New estimates of US currency abroad, the domestic money supply

and the unreported economy. Crime, Law and Social Change, 57(3), 239-263.

 

Feng, Z., Price, S. M., & Sirmans, C. (2011). An overview of equity real estate

investment trusts (REITs): 1993–2009. Journal of Real Estate

Literature, 19(2), 307-343.

 

Fowowe, B. (2017). Return and volatility spillovers between oil and stock markets in

South Africa and Nigeria. African Journal of Economic and Management

Studies.

 

French, J. (2017). Macroeconomic forces and arbitrage pricing theory. Journal of

Comparative Asian Development, 16(1), 1-20.

 

Freybote, J., & Qian, L. (2015). The impact of asset location on REIT merger decisions.

Journal of Property Research, 32(2), 103-122.

 

Georgantopoulos, A. G., & Tsamis, A. (2012). The interrelationship between money

supply, prices and government expenditures and economic growth: A causality

analysis for the case of Cyprus. International Journal of Economic Sciences and

Applied Research, 5(3), 115-128.

 

Giliberto, M., & Shulman, D. (2017). On the Interest Rate Sensitivity of REITs:

Evidence from Twenty Years of Daily Data. Journal of Real Estate Portfolio

Management, 23(1), 7-20.

 

Gitman, L. J., Joehnk, M. D., Smart, S., & Juchau, R. H. (2015). Fundamentals of

investing. Pearson Higher Education AU.

 

Gitman, L. J., Juchau, R., & Flanagan, J. (2015). Principles of managerial finance.

Pearson Higher Education AU.

 

Glascock, J. L. (1991). Market condition, risk, and real estate portfolio returns: some

empirical evidence. Journal of Real Estate Finance and Economics, 4, 367–

373.

 

Glascock, J. L., & Lu-Andrews, R. (2015). The price behavior of REITs surrounding

extreme market-related events. The Journal of Real Estate Finance and

Economics, 51(4), 441-479.

 

Glascock, J. L., Lu, C., & So, R. W. (2002). REIT returns and inflation: perverse or

reverse causality effects?. The Journal of Real Estate Finance and

Economics, 24(3), 301-317.

 

Gospodinov, N., & Jamali, I. (2015). The response of stock market volatility to futuresbased

measures of monetary policy shocks. International Review of Economics

& Finance, 37, 42-54.

 

Granger, C. W. (1969). Investigating causal relations by econometric models and crossspectral

methods. Econometrica: Journal of the Econometric Society, 424-438.

 

Granger, C. W. (1988). Causality, cointegration, and control. Journal of Economic

Dynamics and Control, 12(2-3), 551-559.

 

Guidelines on Real Estate Investment Trusts Issued By Securities Commission

Malaysia Effective: 21 August 2008 Updated 28 December 2012

 

Gujarati, D. N., & Porter, D. (2009). Basic Econometrics. Mc Graw-Hill International

Edition.

 

Gyourko, J., & Linneman, P. (1988). Owner-occupied homes, income-producing

properties, and REITs as inflation hedges: Empirical findings. The Journal of

Real Estate Finance and Economics, 1(4), 347-372.

 

Hair Jr, J. F., Wolfinbarger, M., Money, A. H., Samouel, P., & Page, M. J. (2015).

Essentials of business research methods. Routledge.

 

Hamzah, A. H., Rozali, M. B., & Tahir, I. M. (2010). Empirical investigation on the

performance of the Malaysian real estate investment trusts in pre-crisis, during

crisis and post-crisis period. International Journal of Economics and

Finance, 2(2), 62.

 

Hanifuddin, I. (2018). Posisi Perempuan Minangkabau Dalam Sistem Ulayat Menurut

Adat Matrilineal Dan Syarak. JURIS (Jurnal Ilmiah Syariah), 10(2).

 

Hardin, W. G., Jiang, X., & Wu, Z. (2012). REIT stock prices with inflation hedging

and illusion. The Journal of Real Estate Finance and Economics, 45(1), 262-

287.

 

Hardin, W. G., Jiang, X., & Wu, Z. (2017). Inflation Illusion, Expertise and

Commercial Real Estate. The Journal of Real Estate Finance and Economics,

55(3), 345-369.

 

Harvey, J. T. (2012). Exchange rates. In The Elgar Companion to Post Keynesian

Economics, Second Edition. Edward Elgar Publishing Limited.

 

Hayat, U., & Malik, A. (2014). Islamic Finance: ethics, concepts, practice. Practice

(November 2014). CFA Institute Research Foundation L2014-3.

 

He, L. T., Webb, J. R., & Myer, F. N. (2003). Interest rate sensitivities of REIT returns.

International Real Estate Review, 6(1), 1-21.

 

Hill, R. C., Griffiths, W. E., & Lim, G. C. (2018). Principles of econometrics. John

Wiley & Sons.

 

Hoesli, M., & Oikarinen, E. (2012). Are REITs real estate? Evidence from international

sector level data. Journal of International Money and Finance, 31(7), 1823-

1850.

 

Hong, G., & Lee, B. S. (2013). Does inflation illusion explain the relation between

REITs and inflation?. The Journal of Real Estate Finance and Economics,

47(1), 123-151.

 

Huang, M., Wu, C. C., Liu, S. M., & Wu, C. C. (2016). Facts or fates of investors' losses

during crises? Evidence from REIT-stock volatility and tail dependence

structures. International Review of Economics & Finance, 42, 54-71.

 

Hung, K. C., & Ma, T. (2017). Does monetary policy have any relationship with the

expectations of stock market participants?. Journal of Multinational Financial

Management, 39, 100-117.

 

Hunt-Ahmed, K. (2013). Contemporary Islamic finance: Innovations, applications, and

best practices (Vol. 614). John Wiley & Sons.

 

Hussin, M. Y. M., Muhammad, F., Hadi, A. A. R. F. S., & Gan, P. T. (2017). The Role

of Macroeconomic Variables in the Islamic Real Estate Investment Trusts (I

REIT) Market in Malaysia. International Journal of Academic Research in

Business and Social Sciences, 7(4), 911-926.

 

Hutcheson, G. D. (2011). Ordinary least-squares regression. L. Moutinho and GD

Hutcheson, The SAGE dictionary of quantitative management research, 224-

228.

 

Hwa, T. K. (1999). Listed property trusts in Malaysia: a comparative performance

analysis. In International Real Estate Society Conference (Vol. 99, pp. 26-29).

 

Ibrahim, M. F., Eng, O. S., & Parsa, A. (2009). International articles: Shariah property

investment in Asia. Journal of Real Estate Literature, 17(2), 231-248.

 

Ibrahim, M. H. (2015). Issues in Islamic banking and finance: Islamic banks, Shari’ahcompliant

investment and sukuk. Pacific-Basin Finance Journal, 34, 185-191.

 

Ibrahim, M. H., & Aziz, H. (2003). Macroeconomic variables and the Malaysian equity

market: A view through rolling subsamples. Journal of Economic Studies,

30(1), 6-27.

 

IOSCO. (2004). Islamic Capital Market Fact Finding Report: International

Organization of Securities Commission.

 

Iqbal, M., & Molyneux, P. (2016). Thirty years of Islamic banking: History,

performance and prospects. Springer.

 

Ishak, M. S. H. (2011). Tabung Haji as an Islamic Financial Institution for sustainable

economic development. In This paper was presented in the 2nd International

Conference on Humanities, Historical and Social Sciences (IPEDR) held in

Singapore.

 

Ismath Bacha, O. (2008). The Islamic inter bank money market and a dual banking

system: the Malaysian experience. International Journal of Islamic and Middle

Eastern Finance and Management, 1(3), 210-226.

 

Ito, T. (2013). Islamic rates of return and conventional interest rates in the Malaysian

deposit market. International Journal of Islamic and Middle Eastern Finance

and Management, 6(4), 290-303.

 

Ito, T. (2016). The reaction of the Japanese REIT market to stock prices and interest

rates: a comparison of the periods before and after Abenomics. International

Journal of Monetary Economics and Finance, 9(4), 319-329.

 

Jaffar, M. M. (2010). Mudharabah and musyarakah models of joint venture investments

between two parties. In 2010 International Conference on Science and Social

Research (CSSR 2010) (pp. 42-47). IEEE.

 

Jammazi, R., Tiwari, A. K., Ferrer, R., & Moya, P. (2015). Time-varying dependence

between stock and government bond returns. International evidence with

dynamic copulas. The North American Journal of Economics and Finance, 33,

74-93.

 

Jati, K., & Salam, A. R. (2018). Fundamentals Of Integrated Commercial Bank In

Macroeconomic And Sharia Perspective In Indonesia. Journal of Islamic

Monetary Economics and Finance, 3(2), 349-387.

 

Jebran, K. (2018). Volatility spillover between stock and foreign exchange market of

China: evidence from subprime Asian financial crisis. Journal of Asia Business

Studies, 12(2), 220-232.

 

Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of economic

dynamics and control, 12(2-3), 231-254.

 

Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on

cointegration—with applications to the demand for money. Oxford Bulletin of

Economics and statistics, 52(2), 169-210.

 

Johansen,S. (1991). Estimation and hypothesis testing of cointegrating vectors

in Gaussian vector autoregressive models. Econometrica,59, 1551–1580.

 

Joseph, O., Graeme, N., & Tien-Foo, S. (2006). The growth of REIT markets in

Asia. Journal of Real Estate Literature, 14(2), 203-222.

 

Joyeux, R., & Milunovich, G. (2015). Speculative bubbles, financial crises and

convergence in global real estate investment trusts. Applied Economics, 47(27),

2878-2898.

 

Kamweru, E., & Ngui, M. N. M. (2017). Effects of Interest Rates on the Performance

of Real Estate Industry in Kenya: A Case of Nairobi County. International

Journal of Finance, 2(6), 35-59.

 

Kawaguchi, Y., Sa?Aadu, J., & Shilling, J. D. (2017). REIT Stock Price Volatility and

the Effects of Leverage. Real Estate Economics, 45(2), 452-477.

 

Keynes, J. M. (2016). General theory of employment, interest and money. Atlantic

Publishers & Dist.

 

Keynes, J. M. (2018). The General Theory of the Rate of Interest. In The General

Theory of Employment, Interest, and Money (pp. 145-153). Palgrave

Macmillan, Cham.

 

Kim, H. Y. (2013). Statistical notes for clinical researchers: assessing normal

distribution (2) using skewness and kurtosis. Restorative dentistry &

endodontics, 38(1), 52-54.

 

Kisman, Z., & Restiyanita, S. (2015). M. The Validity of Capital Asset Pricing Model

(CAPM) and Arbitrage Pricing Theory (APT) in Predicting the Return of Stocks

in Indonesia Stock Exchange. American Journal of Economics, Finance and

Management Vol, 1, 184-189.

 

KLCC REIT (2017). Annual Report 2017. Retrieved from

https://klccp.listedcompany.com/misc/ar/ar2017.pdf

 

Kola, K., & Kodongo, O. (2017). Macroeconomic risks and REITs returns: A

comparative analysis. Research in International Business and Finance, 42,

1228-1243.

 

Kothari CR (2004) Research methodology: methods and techniques. 2nd revised edn.

New Age International Publishers, New Delhi

 

Kuha, J. (2004). AIC and BIC: Comparisons of assumptions and

performance. Sociological methods & research, 33(2), 188-229.

 

Kumar, P. C. (8 Sep 2018). Riding on REITs. Thestar, Retrieved from

https://www.thestar.com.my/business/business-news/2018/09/08/riding-onreits

 

Kumar, R. (2019). Research methodology: A step-by-step guide for beginners. Sage

Publications Limited.

 

Kumari, J., Mahakud, J., & Hiremath, G. S. (2017). Determinants of idiosyncratic

volatility: Evidence from the Indian stock market. Research in International

Business and Finance, 41, 172-184.

 

Lall, S. (1980). Multinationals and market structure in an open developing economy:

The case of Malaysia. In The Multinational Corporation (pp. 65-90). Palgrave

Macmillan, London.

 

Lance J. Bachmeier, Soheil R. Nadimi, (2018). Oil shocks and stock return volatility.

The Quarterly Review of Economics and Finance, Volume 68, Pages 1-9, ISSN

1062-9769,

 

Lane, P. R., & Milesi-Ferretti, G. M. (2018). The External Wealth of Nations Revisited:

International Financial Integration in the Aftermath of the Global Financial

Crisis. IMF Economic Review, 1-34.

 

Lang, S., & Scholz, A. (2015). The diverging role of the systematic risk factors:

evidence from real estate stock markets. Journal of Property Investment &

Finance, 33(1), 81-106.

 

Larsen, A. B., & McQueen, G. R. (1995). REITs, real estate, and inflation: Lessons

from the gold market. The Journal of Real Estate Finance and Economics,

10(3), 285-297.

 

Lean, H. H., & Smyth, R. (2012). REITs, interest rates and stock prices in

Malaysia. International Journal of Business and Society, 13(1), 49-62.

 

Lee, C. L., & Lee, M. L. (2014). Do European real estate stocks hedge inflation?

Evidence from developed and emerging markets. International Journal of

Strategic Property Management, 18(2), 178-197.

 

Lee, C. L., Stevenson, S., & Lee, M. L. (2015). Low-frequency volatility of real estate

securities in relation to macroeconomic risk.

 

Lee, J. H., & Brorsen, B. W. (1997). A non-nested test of GARCH vs. EGARCH

models. Applied Economics Letters, 4(12), 765-768.

 

Lee, M. T., Lee, M. L., Lai, F. T., & Yang, T. H. (2011). International articles: do real

estate stocks hedge inflation in the long run? Evidence from three East Asian

emerging markets. Journal of Real Estate Literature, 19(2), 345-372.

 

Leone, V. (2011). From property companies to real estate investment trusts: the impact

of economic and property factors on UK listed property returns. Economic

Issues, 16(1), 19.

 

Li, R. Y. M., & Chan, A. (2018). REITs Portfolio Optimization: A Nonlinear

Generalized Reduced Gradient Approach. DEStech Transactions on Computer

Science and Engineering, (mso).

 

Liang, Y., Seiler, M. J., & Chatrath, a. (1998). Are REIT returns hedgeable?. Journal

of Real Estate Research, 16(1), 87-97.

 

Liew, V. K. S. (2004). Which lag length selection criteria should we employ?.

 

Limaye, A. R. (2016). The Impact of Implied Volatility Index (VIX) and Disposable

Income on Real Estate Investment Trust (REITS) (Doctoral dissertation).

 

Lin, J. L. (2006). Teaching notes on impulse response function and structural

VAR. Institute of Economics. Academia Sinica, Department of Economics,

National Chengchi University, 1-9.

 

Ling, D. C., Naranjo, A., & Scheick, B. (2016). Asset Location, Timing Ability, and

the Cross-Section of REIT Returns.

 

Liow, K. H., Ibrahim, M. F., & Huang, Q. (2006). Macroeconomic risk influences on

the property stock market. Journal of Property Investment & Finance.

 

Liow, K.H. & Yang, H. J (2005). Long-Term Co-Memories and Short-Run Adjustment:

Securitized Real Estate and Stock Markets. The Journal of Real Estate Finance

and Economics 31(3), 283–300.

 

Liu, J., Loudon, G., & Milunovich, G. (2012). Linkages between international REITs:

the role of economic factors. Journal of Property Investment & Finance, 30(5),

473-492.

 

Liu, X., & Liu, P. (2012). The composition of market proxy in REITs risk premium

estimation. Journal of Real Estate Portfolio Management, 18(1), 79-98.

 

Loo, W. K., Anuar, M. A., & Ramakrishnan, S. (2016). Integration between the Asian

REIT markets and macroeconomic variables. Journal of Property Investment &

Finance, 34(1), 68-82.

 

Lütkepohl, H., & Poskitt, D. S. (1991). Estimating orthogonal impulse responses via

vector autoregressive models. Econometric Theory, 487-496.

 

Ma’in, M., Arifin, M., Afizah, N., Hatta, M., Firdaus, M., Hashim, M. H., & Isa, S. S.

M. (2016). Determinants of Islamic Real Estate Investment Trust

Performance. Advanced Science Letters, 22(12), 4321-4325.

 

Maddala, G. S., & Lahiri, K. (1992). Introduction to econometrics (Vol. 2). New York:

Macmillan.

 

Mahalingam, E. (2017) Launch of Bursa Malaysia REIT Index seen timely, thestar, 28

October 2017. Available at: https://www.thestar.com.my/business/businessnews/

2017/10/28/launch-of-bursa-malaysia-reit-index-seen-timely (Accessed:

19 April 2018)

 

Mallick, S., Mohanty, M. S., & Zampolli, F. (2017). Market volatility, monetary policy

and the term premium.

 

Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying

response to the U.S. monetary policy and macroeconomic surprises. The North

American Journal of Economics and Finance, 42, 640-653.

 

Martin, M. F., & Morrison, W. M. (2008). China's' hot money'problems. Library of

congress washington dc congressional research service.

 

McCue, T. E., & Kling, J. L. (1994). Real estate returns and the macroeconomy: some

empirical evidence from real estate investment trust data, 1972-1991. Journal

of Real Estate research, 9, 277-288.

 

McKinley, S., & Levine, M. (1998). Cubic spline interpolation. College of the

Redwoods, 45(1), 1049-1060.

 

Mcmillen, M. J. (2013). Sukuk and the islamic capital markets. Huntahmed karen.

Contemporary Islamic finance: Innovations, Applications, and Best Practices.

Hoboken: John Wiley & Sons, 165-188.

 

Mehrara, M., Falahati, Z., & Zahiri, N. H. (2014). The Relationship between systematic

risk and stock returns in Tehran Stock Exchange using the capital asset pricing

model (CAPM). International Letters of Social and Humanistic Sciences

(ILSHS), 10, 26-35.

 

Mi, L., Benson, K., & Faff, R. (2016). Further evidence on idiosyncratic risk and REIT

pricing: a cross-country analysis. Accounting Research Journal, 29(1), 34-58.

 

Milan, B., & Peter, M. (2018) Oil market volatility and stock market volatility. Finance

Research Letters , ISSN 1544-6123

 

Miles, M. E., Berens, G., & Weiss, M. A. (2000). Real estate development: principles

and process. Urban Land Inst.

 

Miller, M. H. (1988). The Modigliani-Miller propositions after thirty years. Journal of

Economic perspectives, 2(4), 99-120.

 

Mohamad, N. (2016). The Performance of Shariah Real Estate Investment Trust and

Conventional Real Estate Investment Trust in Malaysia. Indonesian Capital

Market Review, 8, 1-11.

 

Mohamad, N. E. A., & Zolkifli, I. A. (2014). The determinant factors of real estate

investment trust (REIT)’s performance: Evidence from Asian REITs.

Indonesian Capital Market Review.

 

Mohamad, S., Muhamad Sori, Z., & Shah, M. (2015). Shariah Governance:

Effectiveness of Shariah Committees in Islamic Banks in Malaysia. Mohamed,

Shariah Governance: Effectiveness of Shariah Committees in Islamic Banks in

Malaysia (January 25, 2015).

 

Morri, G., & Liu, W. (2017). US REITs' Returns Sensitivity to Interest Rates after the

Global Financial Crisis. Available at SSRN 3007609.

 

Moss, A., Clare, A., Thomas, S., & Seaton, J. (2017). Can sector-specific REIT

strategies outperform a diversified benchmark?. Journal of European Real

Estate Research, 10(3), 366-383.

 

Naifar, N. (2016). Modeling dependence structure between stock market volatility and

sukuk yields: A nonlinear study in the case of Saudi Arabia. Borsa Istanbul

Review, 16(3), 157-166.

 

Nareit (2018). Understanding REITs: Industry Equity Market Cap Breaks $1 Trillion

Available at: https://www.reit.com/news/blog/nareit-media/understandingreits-

industry-equity-market-cap-breaks-1-trillion

 

Naseer, M., & Tariq, Y. (2015). The efficient market hypothesis: A critical review of

the literature. IUP Journal of Financial Risk Management, 12(4), 48-63.

 

Nasir, N. M., Hassan, N. M., Nasir, Z. A., & Harun, M. F. M. (2017). Macroeconomic

Factors as the Determinants of Stock Market Return in Malaysia: Multivariate

Cointegration and Causality. Analysis. Terengganu International Finance and

Economics Journal (TIFEJ), 3(1), 38-49.

 

National, T. F., & Low, S. H. (2000). The inflation-hedging characteristics of real estate

and financial assets in Singapore. Journal of Real Estate Portfolio

Management, 6(4), 373-385.

 

Naveed (2015) A History of Islamic Finance: The Quran and Islamic Economics.

 

Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach.

Econometrica: Journal of the Econometric Society, 347-370.

 

Nelson, D. B., & Cao, C. Q. (1992). Inequality constraints in the univariate GARCH

model. Journal of Business & Economic Statistics, 10(2), 229-235.

 

Newell, G., & Osmadi, A. (2009). The development and preliminary performance

analysis of Islamic REITs in Malaysia. Journal of Property Research, 26(4),

329-347.

 

Newell, G., & Peng, H. W. (2009). The impact of the global financial crisis on AREITs.

Pacific Rim Property Research Journal, 15(4), 453-470.

 

Newell, G., Hwa, T., & Acheampong, P. (2002). Listed property trusts in

Malaysia. Journal of Real Estate Literature, 10(1), 109-118.

 

Newell, G., Ting, K. H., & Ling, M. W. Y. (1998). Reaching into Asia: the development

of listed property trusts in Malaysia. Australian Property Journal, 35(4), 330.

 

Ngo, T. (2017). Exchange rate exposure of REITs. The Quarterly Review of Economics

and Finance, 64, 249-258.

 

Nguyen, B. (2015). Effects of fiscal deficit and money M2 supply on inflation:

Evidence from selected economies of Asia. Journal of Economics, Finance and

Administrative Science, 20, 49-53.

 

Nisbet, R., Miner, G., & Yale, K. (2017). Handbook of Statistical Analysis and Data

Mining Applications 2nd Edition. Academic Press.

 

Nishigaki, H. (2007). An analysis of the relationship between US REIT returns.

Economics Bulletin, 13(1), 1-7.

 

Nittayagasetwat, A., & Buranasiri, J. (2012). Real estate investment performance: the

test of the impact of additional interest rate information from CIR model.

International Journal of Business and Social Science, 3(12), 134-143.

 

Niu, H., & Wang, J. (2013). Volatility clustering and long memory of financial time

series and financial price model. Digital Signal Processing, 23(2), 489-498.

 

Obana, J. (2015). Islamic Finance: Prohibitions and Alternative Financing in Islamic

Finance. Muscat.

 

Obereiner, D., & Kurzrock, B. M. (2012). Inflation-hedging properties of indirect real

estate investments in Germany. Journal of Property Investment & Finance,

30(3), 218-240.

 

Olweny, T., & Omondi, K. (2011). The effect of macro-economic factors on stock

return volatility in the Nairobi stock exchange, Kenya. Economics and Finance

review, 1(10), 34-48.

 

Omar, A., Abduh, M., & Sukmana, R. (2013). Fundamentals of Islamic money and

capital markets. John Wiley & Sons.

 

Omurgonulsen, U., Pirgaip, C. Z., & Pirgaip, B. (2015). Real Estate Investment Trust

(REIT) Model for Local Governments in Infrastructure Finance. Maliye dergisi,

(168), 20-30.

 

O'Neal, N. C. (2009). The Development of Islamic Finance in America: The Future of

Islamic Real Estate Investment Trusts. Real Property, Trust and Estate Law

Journal, 279-297.

 

Ong, T. S., Teh, B. H., & Chong, M. P. (2011). A Study on the Performance of

Malaysian Real Estate Investment Trusts from 2005-2010 by using Net Asset

Value Approach. International Journal of Economics Research, 2(1), 1-15.

 

Ormond, M., Mun, W. K., & Khoon, C. C. (2014). Medical tourism in Malaysia: how

can we better identify and manage its advantages and disadvantages?. Global

health action, 7(1), 25201.

 

Osamwonyi, I. O., & Evbayiro-Osagie, E. I. (2012). The relationship between

macroeconomic variables and stock market index in Nigeria. Journal of

Economics, 3(1), 55-63.

 

Osborne, H. (2013). Islamic finance–the lowdown on sharia-compliant money. The

Guardian.

 

Osmadi, A., & Razali, M. N. (2014). Assessing the financial and management strength

of Islamic real estate investment trusts (I-Reits) during the global financial crisis

(Gfc). PERINTIS E-Journal, 4(1), 48-69.

 

Otieno, D. A., Ngugi, R. W., & Wawire, N. H. (2017). Effects of Interest Rate on Stock

Market Returns in Kenya. International Journal of Economics and Finance,

9(8), 40-50.

 

Park, Y., & Bang, D. W. (2012). Direct commercial real estate as an inflation hedge:

Korean evidence. Journal of Real Estate Portfolio Management, 18(2), 187-

203.

 

Pavlov, A., Steiner, E., & Wachter, S. (2018). The consequences of REIT index

membership for return patterns. Real Estate Economics, 46(1), 210-250.

 

Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear

multivariate models. Economics letters, 58(1), 17-29.

 

Pham, A. K. (2012). The dynamics of returns and volatility in the emerging and

developed Asian REIT markets. Journal of Real Estate Literature, 20(1), 79-

96.

 

Philippas, N., Economou, F., Babalos, V., & Kostakis, A. (2013). Herding behavior in

REITs: Novel tests and the role of financial crisis. International Review of

Financial Analysis, 29, 166-174.

 

Pierdzioch, C., Risse, M., Gupta, R., & Nyakabawo, W. (2018). On REIT returns and

(un) expected inflation: Empirical evidence based on Bayesian additive

regression trees. Finance Research Letters.

 

Pozsar, Z. (2013). Institutional cash pools and the Triffin dilemma of the US banking

system. Financial Markets, Institutions & Instruments, 22(5), 283-318.

 

Pramod Kumar, N. A. I. K., & Puja, P. (2012). The impact of macroeconomic

fundamentals on stock prices revisited: An evidence from Indian data.

 

PricewaterhouseCoopers (2017). Compare and Contrast Worldwide Real Estate

Investment Trust (REIT) Regimes. Retrieved from

https://www.pwc.com/gx/en/asset-management/assets/pdf/worldwide-reitregimes-

2017.pdf

 

Quadir, M. M. (2012). The effect of macroeconomic variables on stock returns on

Dhaka stock exchange. International Journal of Economics and Financial

Issues, 2(4), 480-487.

 

Ratcliffe, C., Dimovski, B., & Keneley, M. (2015). Long?Term post?merger

announcement performance. A case study of Australian listed real

estate. Accounting & Finance.

 

Razali, M. N. (2015). The dynamic of returns and volatility of Malaysian listed property

companies in Asian property market. International Journal of Strategic

Property Management, 19(1), 66-83.

 

Reisman, H. (1988). A general approach to the arbitrage pricing theory (APT).

Econometrica: Journal of the Econometric Society, 473-476.

 

Reuters. (2011, November 22). Group launches first Islamic interbank benchmark.

Retrieved from https://www.reuters.com/article/islamicinterbank/

group.launches-first-islamic-interbank-benchmarkidUSL5E7ML0QC201

 

Rizwan, S., Shaikh, S. J., & Shehzadi, M. (2013). Validity of capital assets pricing

model (CAPM): evidence from cement sector of Pakistan listed under Karachi

stock exchange. Kuwait Chapter of Arabian Journal of Business and

Management Review, 33(855), 1-16.

 

Rosly, S. A. (2010). Shariah parameters reconsidered. International Journal of Islamic

and Middle Eastern Finance and Management.

 

Rozhan Abu Dardak (2015) Transformation of Agricultural Sector in Malaysia

Through Agricultural Policy. FFTC Agricultural Policy Articles, available at

http://ap.fftc.agnet.org/ap_db.php?id=386&print=1

 

Rushdi, M., Kim, J. H., & Silvapulle, P. (2012). ARDL bounds tests and robust

inference for the long run relationship between real stock returns and inflation

in Australia. Economic Modelling, 29(3), 535-543.

 

Saeed, M. 2011. The Outlook for Islamic REITs as an Investment Vehicle. Lancaster

University Management University.

 

Safari, M., Ariff, M., & Mohamad, S. (2014). Sukuk securities: New ways of debt

contracting. John Wiley & Sons.

 

Safitri, L., Nuskhi, M., Muatip, K., Purwaningsih, H., & Setiana, L. (2019). The

Relationship between Human Being and Animal: The Study of the Concepts of

Khalifah and the Animals in the Quran. Animal Production, 20(3), 211-215.

 

Sainati, T., Brookes, N., & Locatelli, G. (2017). Special Purpose Entities in

Megaprojects: Empty Boxes or Real Companies?. Project Management

Journal, 48(2), 55-73.

 

Salameh, H. M., & Alzubi, B. (2018). An investigation of stock market volatility:

evidence from Dubai financial market. Journal of Economic and Administrative

Sciences, 34(1), 21-35.

 

Sargan, J. D., & Bhargava, A. (1983). Maximum likelihood estimation of regression

models with first order moving average errors when the root lies on the unit

circle. Econometrica: Journal of the Econometric Society, 799-820.

 

Sarker, A. A. (2016). An evaluation of islamic monetary policy instruments introduced

in some selected OIC member countries. Islamic Economic Studies, 130(3221),

1-47.

 

Sekaran, U., & Bougie, R. (2016). Research methods for business: A skill building

approach. John Wiley & Sons.

 

Serfling, M. (2016). Firing costs and capital structure decisions. The Journal of

Finance, 71(5), 2239-2286.

 

Serrasqueiro, Z., & Caetano, A. (2015). Trade-Off Theory versus Pecking Order

Theory: capital structure decisions in a peripheral region of Portugal. Journal

of Business Economics and Management, 16(2), 445-466.

 

Simpson, M. W., Ramchander, S., & Webb, J. R. (2007). The asymmetric response of

equity REIT returns to inflation. The Journal of Real Estate Finance and

Economics, 34(4), 513-529.

 

Sing, T. F. & Low, S. H. Y. (2000). The inflation-hedging characteristics of real estate

and financial assets in Singapore. The Journal of real Estate Portfolio

Management, 6(4), 373-386.

 

Sing, T. F., Tsai, I. C., & Chen, M. C. (2016). Time-varying betas of US REITs from

1972 to 2013. The Journal of Real Estate Finance and Economics, 52(1), 50-

72.

 

Singhania, M., & Anchalia, J. (2013). Volatility in Asian stock markets and global

financial crisis. Journal of Advances in Management Research, 10(3), 333-351.

 

Šir??ek, M., & K?en, L. (2017). Application of Markowitz portfolio theory by building

optimal portfolio on the US stock market. In Tools and Techniques for

Economic Decision Analysis (pp. 24-42). IGI Global.

 

Skarabot, J. (2002). Securitization and Special Purpose Vehicle Structures. Working

Paper, Haas School of Business, University of California at Berkeley, 29th

April.

 

Sotelo, R., & McGreal, S. (2016). Real estate investment trusts in Europe. Springer-

Verlag Berlin An.

 

Strasser, C., & Kinsky, P. (2010). Key structural and legal aspects of asset

securitisation. Capital Markets, 27-31.

 

Sun, L., Titman, S. D., & Twite, G. J. (2015). Reit and commercial real estate returns:

A postmortem of the financial crisis. Real Estate Economics, 43(1), 8-36.

 

Sundararajan, V., & Errico, L. (2002). Islamic financial institutions and products in the

global financial system: Key issues in risk management and challenges

ahead (Vol. 2). International Monetary Fund.

 

Swanson, Z., Theis, J., & Casey, K. M. (2002). REIT risk premium sensitivity and

interest rates. The Journal of Real Estate Finance and Economics, 24(3), 319-

330.

 

Thean, L.C. (18 July 2018). M-REITs volatility to continue. Thestar, Retrieved from

https://www.thestar.com.my/business/business-news/2018/07/18/mreitsvolatility-

to-continue

 

Thomas, M., & Lee, S. (2006). The impact of exchanges rates on international real

estate portfolio allocation. Journal of real estate portfolio management, 12(3),

277-292.

 

Totonchi, J. (2011). Macroeconomic theories of inflation. In International Conference

on Economics and Finance Research (págs. 459-462). Singapore: IACSIT

Press.

 

Tsagkanos, A., & Siriopoulos, C. (2013). A long-run relationship between stock price

index and exchange rate: A structural nonparametric cointegrating regression

approach. Journal of International Financial Markets, Institutions and

Money, 25, 106-118.

 

Tsai, I. C., & Lee, C. F. (2012). The convergent behavior in REIT markets. Journal of

Property Investment & Finance, 30(1), 42-57.

 

Tsai, M. S., & Chiang, S. L. (2013). The asymmetric price adjustment between REIT

and stock markets in Asia-Pacific markets. Economic Modelling, 32, 91-99.

 

Ulus, S. (2013). Fixed Income Investment (Sukuk) in Islamic Finance. Afro Eurasian

Studies, 2(1-2), 298-305.

 

United Nations (2017). LINK Global Economic Outlook 2017-2019. Presented at the

DESA Expert Group Meeting on the World Economy (Project LINK) Cosponsored

and hosted by UNCTAD, Geneva, Switzerland 3-5 October 2017.

Retrieved from https://www.un.org/development/desa/dpad/wp-content /

uploads /sites/45/publication/2017_GEOUpdate_final.pdf

 

United Nations. (2003). Human Development Reports, CIA World Factbook;World

Bank, pages 1-2; December 2003. Available:

www.theodora.com/'wfbcurrent/'.../'nigeria economy.html.

 

Vernimmen, P., Quiry, P., Dallocchio, M., Le Fur, Y., & Salvi, A. (2014). Corporate

finance: theory and practice. John Wiley & Sons.

 

Visser, H. (2013). Islamic finance: Principles and practice. Edward Elgar Publishing.

 

Vlastakis, N., & Markellos, R. N. (2012). Information demand and stock market

volatility. Journal of Banking & Finance, 36(6), 1808-1821.

 

Waldron, R. (2018). Capitalizing on the State: The political economy of Real Estate

Investment Trusts and the ‘Resolution’of the crisis. Geoforum, 90, 206-218.

 

Wallace, M., & Sheldon, N. (2015). Business research ethics: Participant observer

perspectives. Journal of Business Ethics, 128(2), 267-277.

 

Wang, Y. C., Huang, R., Nieh, C. C., Ou, H. K., & Chi, M. (2017). Integration between

real estate market and stock market: Evidence from Taiwan. In Applied System

Innovation (ICASI), 2017 International Conference on (pp. 1611-1614). IEEE.

 

Wang, Z., Qian, Y., & Wang, S. (2018). Dynamic trading volume and stock return

relation: Does it hold out of sample?. International Review of Financial

Analysis, 58, 195-210.

 

White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a

direct test for heteroskedasticity. Econometrica, 48(4), 817-838.

 

Wong, M. Y. (2016). Malaysia REITs: First Decade Development and Returns

Characteristics. International Real Estate Review, 19(3), 371-409.

 

Woodford, M. (2012). Methods of policy accommodation at the interest-rate lower

bound.

 

Wu, M. C., Liau, Y. S., & Wang, Y. C. (2010). Are REITs defensive? Evidence from

the US. African Journal of Business Management, 4(7), 1386-1389.

 

Xu, X. E., & Chen, T. (2012). The effect of monetary policy on real estate price growth

in China. Pacific-Basin Finance Journal, 20(1), 62-77.

 

Yang, B.Z., & Zeng, T. (2015). A note on the Real Currency Exchange Rate: Definition

and Implication. Journal of International Business and Economics, 2(4), 45-55.

 

Young, M. J., Latham, J. D., & Serjeant, R. B. (Eds.). (2006). Religion, learning and

science in the'Abbasid Period. Cambridge University Press.

 

Yuan, Y. (2015). Market-wide attention, trading, and stock returns. Journal of

Financial Economics, 116(3), 548-564.

 

Yüksel, S. A., Yüksel, A., Erol, Ü., & Öztürk, H. (2017). The Impact of the Global

Financial Crisis on the Co-Integration Relationship between Reit and Stock

Markets: A Dynamic Co-Integration Approach. International Journal of

Economics and Finance, 9(7), 86.

 

Yunus, N. (2012). Modeling Relationship among Securitized Property Markets, Stock

Markets, and Macroeconomic Variables. Journal of Real Estate Research,

34(2), 128-156.

 

Yusuf, Y. A., Hussin, M. Y. M., & Rambeli, N. (2017). Amanah Pelaburan Hartanah

Islam (I-REIT) di Malaysia: Analisis hubungan keseimbangan dengan

pemboleh ubah makroekonomi (Islamic Real Estate Investment Trusts (I-REIT)

in Malaysia: Analytical relationships with macro-economic variables).

Geografia: Malaysian Journal of Society and Space, 11(4).

 

Zaman, A., & Zaman, A. (2010). Islamic economics. Newspaper article published in

Express Tribune on June, 10.

 

Zhang, G., & Fung, H. G. (2006). On the imbalance between the real estate market and

the stock markets in China. Chinese Economy, 39(2), 26-39.

 

Zhou, J., & Anderson, R. I. (2012). Extreme risk measures for international REIT

markets. The Journal of Real Estate Finance and Economics, 45(1), 152-170.

 


This material may be protected under Copyright Act which governs the making of photocopies or reproductions of copyrighted materials.
You may use the digitized material for private study, scholarship, or research.

Back to previous page

Installed and configured by Bahagian Automasi, Perpustakaan Tuanku Bainun, Universiti Pendidikan Sultan Idris
If you have enquiries, kindly contact us at pustakasys@upsi.edu.my or 016-3630263. Office hours only.