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

Yıl 2021, Cilt: 13 Sayı: 1, 36 - 41, 30.07.2021

Salih Durer Aysegul Berrak Koten

https://doi.org/10.17261/Pressacademia.2021.1419

Öz

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.

Anahtar Kelimeler

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

Kaynakça

• Ambrose, B. W. & Linneman, P. (2001). REIT organizational structure and operating characteristics. Journal of Real Estate Research, 21(3): 141-162. https://doi.org/10.1080/10835547.2001.12091049
• Agnello, L., Castro, V., & Sousa, R. M. (2018). Economic activity, credit market conditions, and the housing market. Macroeconomic Dynamics, 22(7): 1769-1789. https://doi.org/10.1017/S1365100516000869
• Baltagi, B. H. (2005). Econometric Analysis of Panel Data. 3rd edition. West Sussex: John Wiley & Sons Ltd.
• Bayar Y. & Sezgin H. F. (2017). Trade openness, inequality and poverty in Latin American countries. Ekonomika (Economics), 96(1): 47-57. https://doi.org/10.15388/ekon.2017.1.10663
• Chang, KL., Chen, NK. & Leung, C.K.Y. (2011). Monetary policy, term structure and asset return: Comparing REIT, housing and stock. The Journal of Real Estate Finance and Economics, Springer, 43(1): 221-257. https://doi.org/10.1007/s11146-010-9241-8
• Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2): 249-272. https://doi.org/10.1016/S0261-5606(00)00048-6
• 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. https://doi.org/10.1016/S0148-2963(03)00147-4
• Fama, E. F. & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2): 115-146. https://doi.org/10.1016/0304-405X(77)90014-9
• Hsiao, C. (2003). Analysis of Panel Data (2nd ed., Econometric Society Monographs). Cambridge: Cambridge University Press.
• Hussin, M.Y.M., Muhammad, F., Razak, A. A., Hadi, F.S.A., & Gan, P-T. (2017). The role of macroeconomic variables in the Islamic real estate investment trusts (I-REIT) market in Malaysia. The International Journal of Academic Research in Business and Social Sciences, 7(4): 911-926. https://doi.org/10.6007/IJARBSS/V7-I4/2901
• Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1): 53-74. https://doi.org/10.1016/S0304-4076(03)00092-7
• Kirui, E., Wawire, H. W. & Onono, P. (2014). Macroeconomic variables, volatility and stock market returns: a case of Nairobi securities exchange, Kenya. International Journal of Economics and Finance, 6 (8): 214-228. http://dx.doi.org/10.5539/ijef.v6n8p214
• Linck, L. (2016). Stock returns, macroeconomic variables and expectations: Evidence from Brazil. Pensamiento Y Gestión, (40): 91–112. https://doi.org/10.14482/pege.40.8806 Retrieved from https://www.redalyc.org/jatsRepo/646/64646279004/html/index.html
• 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. https://doi.org/10.1108/JPIF-12-2014-0070
• Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, Special Issue, 61(S1): 631-652. https://doi.org/10.1111/1468-0084.0610s1631
• Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying response to the US monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42: 640-653. https://doi.org/10.1016/j.najef.2017.09.007
• Nishigaki, H. (2007). An analysis of the relationship between US REIT returns. Economics Bulletin, 13(1): 1–7. Retrieved from http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.498.2113&rep=rep1&type=pdf
• Ozel, H. A., Sezgin, F. H. & Topkaya, Ö. (2013). Investigation, of economic growth and unemployment relationship for G7 countries using panel regression analysis. International Journal of Business and Social Science, 4(6): 162-170. Retrieved from
• http://ijbssnet.com/journals/Vol_4_No_6_June_2013/20.pdf
• Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Papers, No. 1229: 1-40. https://doi.org/10.17863/CAM.5113 Retrieved from https://www.cesifo.org/en/publikationen/2004/working-paper/general-diagnostic-tests-cross-section-dependence-panels
• Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2): 265-312. https://doi.org/10.1002/jae.951
• Pesaran, M. H. & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142 (1): 50-93. https://doi.org/10.1016/j.jeconom.2007.05.010
• Pesaran, M. H., Ullah A., & Yamagata T. (2008). A bias-adjusted LM test of error cross-section independence. Econometrics Journal, 11 (1): 105-127. https://doi.org/10.1111/j.1368-423X.2007.00227.x
• 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, Elsevier, 30 (C): 160-169. https://doi.org/10.1016/j.frl.2018.09.010
• Wong, W. W. (2017). The macroeconomic forces that drive REIT returns in Australia. ERES 2017: 24th Annual Conference of the European Real Estate Society, 1-14. Retrieved from https://eres.architexturez.net/system/files/P_20170115032427_715.pdf & https://eres.architexturez.net/system/files/183.pdf
• Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data. 2nd edition. Cambridge, Massachusetts, London, England: The MIT Press.
• Zugul, M., & Sahin, C. (2015). Faiz oranı ve enflasyonun gayrimenkul yatırım ortaklığı getirisi üzerindeki etkisine yönelik bir uygulama. Akademik Bakış Dergisi, (49): 147-162. Retrieved from https://dergipark.org.tr/tr/pub/abuhsbd/issue/32942/366009