Causal Effects of Macroeconomic Predictors on Real Estate Investment Trust’s (REIT’s) Performance in Nigeria
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Date
2021
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Pacific Rim Property Research Journal
Abstract
The paper examined the causal effects of macroeconomic predic tors on the dividend return performance of the Nigerian Real Estate
Investment Trusts (N-REITs) the macroeconomic indicators consid ered was interest rate (INTR), an exchange rate (EXGR), inflation rate
(INFR), market capitalisation (MKCP) and all share index (ASI). The
study is quantitative based on secondary data collected from var ious government institutions and annual financial reports of the
Nigeria REITs for the study period (2008–2017). Autoregressive distributed lag (ARDL) and Bound test were used to analyse the
data. The result of the Bound test indicated that N-REIT, INTR and
ASI with F-statistic values of 11.07, 5.71 and 4.18, respectively, co integrated with other macroeconomic predictors, especially for the
variable vectors. ASI with t-stat and prob. value 2.9491 and 0.0065,
respectively, implies statistically significant contribution of ASI to
REIT performance in the long run (p < 0.05). Through ECM, the
series was good at convergence and nonexplosive series ect (−1):
−4.98 and p-value 0.0000, the macroeconomic predictors have
significant explanatory power on N-REIT performance in the short
run. The no capital gain nature of the N-REIT constitutes a limitation
in this study, while the competitive dividend return is the driving
force for the study.
Description
Keywords
Bound test, Co-integration, Dividend yield, Macroeconomics, Nigeria, REIT performance
Citation
Olusegun O. Olanrele , Oluwatosin B. Fateye , Tomisi O. Adegunle , C. A Ajayi , Rosli Said & Kurannen Baaki (2021): Causal effects of macroeconomic predictors on real estate investment trust’s (REIT’s) performance in Nigeria, Pacific Rim Property Research Journal