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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.

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