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- W1710600623 abstract "Although real estate is believed to be the steady element of a portfolio, volatilities duringthe global financial crisis has thrown off its “defensive stock” status in terms ofoptimizing portfolio benefit. Evidence from past research have revealed the same for theReal Estate Investment Trust (REIT) in Malaysia. This paper examines the volatility andstability of the REITs in Malaysia (MREITs), particularly analyzing the correlationsbetween the islamic REITs and their conventional counterparts. We further observe theexistence of contagion effects between these assets to ascertain whether the islamic REITsare led by the more established conventional REITs. The DCC-MGARCH model isapplied to study the volatilities and correlations within this asset class. We also use thewavelet coherence methodology to see the contagion effects between the REITs, within atime frequency domain. Our contribution to the scarce literature on Islamic REITs is theanalysis of time varying correlations from a sector-related perspective, and explaininginterdependencies in the time domain as well as the frequency domain. Our findingsshow that the Malaysian REITs have a long run fundamental relationship with each other,but are independently moving within their respective sectors in the shorter term. Theresults imply that diversification benefits are not hindered as long as the MREITs held inthe portfolio belong to different sectors. Most importantly, although the Shariah (Islamiclaw) investor may be limited in the selection of investment assets, investing in all threeislamic MREITs concurrently will not increase the riskiness of the portfolio." @default.
- W1710600623 created "2016-06-24" @default.
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- W1710600623 date "2014-06-29" @default.
- W1710600623 modified "2023-09-26" @default.
- W1710600623 title "Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS" @default.
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