A study on Malaysia Real Estate Investment Trusts and stock return determinants / Nurnazahiyah Khamis

Real Estate Investment Trusts play important roles in economic development and enhancement towards country. The rate of country’s economic development become greater, the growth in investment gives confident and country vision by 2020, in conjunction with the government effort to liberalize and boost property asset values in Malaysia. Hence, this study is conducted regarding REIT Stock Return Determinants in Malaysia. This study are to examine and investigate the effect of selected variables towards REITs stock returns, REIT Index in Malaysia
whether there is significant or not significant relationship between interest rate (BLR), money supply (M1) and exchange rate (MYR/USD) with the REITs stock returns (REIT Index). By using Simple Linear Regression Model, this study
attempts to identify the variable that the most influence the REIT stock returns movement and volatility. From the findings, the researcher can conclude that two (2) of independent variables; interest rate (BLR) and money supply (M1) have no significant relationship with REIT stock returns (REIT Index). It also consistent with previous research addressing interest rate changes only, such as Devaney (2001), found no significant impact on REIT’s returns. Previous research done by Chen, Hsieh, Vines and Chiou (1998) find that the economic risk factors such as
GDP, industrial production, and money supply do not impact Equity REIT returns. Meanwhile there is a significant relationship between exchange rate (MYR/USD) and the REIT stock returns (REIT Index). This study supports the results of Ajayi and Mougoue (1996) for US and UK market and Granger et al. (2000) for Asian Market, exchange rate and stock prices affect each other. Finally, an analysis on
the performance of REIT Stock Return Determinants is successful since the researcher achieved all the objectives of the study and can identify the variable that determine the Malaysia REIT stock returns volatility