THE EFFECT OF MACROECONOMIC VARIABLES ON THE STOCK EXCHANGE PERFORMANCE OF REAL ESTATE INVESTMENT TRUSTS: PANEL REGRESSION ANALYSIS

Abstract

Purpose- This study aims to reveal the effects of per capita income, housing interest rates and inflation, which are the main macroeconomic variables, on the stock market performance of real estate investment trusts (REITs), with the help of panel regression analysis. Methodology- In this study, 27 REITs with high transaction volume and not missing data were selected and the panel regression analysis was made for the period 2014.Q1 - 2020.Q2. For the first order stationary data, the Random Effects Model was found to be suitable as a result of the Hausman test, and the Greene heteroscedasticity test and the Wooldridge autocorrelation test were analyzed to provide the assumptions. Findings- As a result of the analysis, 0.09% per capita income to have an increasing effect, housing interest rates of 10.5% and 9.71% inflation to have a statistically decreasing effect on stock market performance indicator the market value / book value. Conclusion- In this study, it was determined which increase in income per capita, which is one of the macroeconomic variables, affects the performance positively for the REITs in the stock market, while the increase in inflation and housing interest rates affects the performance negatively. Due to its strong links with other sectors in the economy, the real estate sector is significantly affected by the change in economic conditions, while at the same time creating significant effects on the economy. One of the important features of the real estate market is its sensitivity to macroeconomic changes. The real estate sector is seen as the locomotive of the country's economy, as it has many sub-markets and has a close relationship with many fields such as construction, finance, economy and law. For this reason, policy makers need to ensure market stability to maintain the positive effect of the variables that contribute to the increase in the stock market performance of REITs.

Keywords

• REITs
• stock market performance
• macroeconomic variables
• panel regression analysis

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