Causal Relationship between N-REIT's Dividend Yield and Money Market Indicators

  • Olusegun Olaopin Olanrele Department of Estate Management and Valuation, Moshood Abiola Polytechnic, Abeokuta
  • Tomisi Olusegun Adegunle Department of Estate Management and Valuation, Moshood Abiola Polytechnic, Abeokuta, Nigeria
  • Oluwatosin Babatola Fateye Department of Estate Management and Valuation, Moshood Abiola Polytechnic, Abeokuta, Nigeria
  • Cyril Ayodele Ajayi Department of Estate Management, Obafemi Awolowo University, Nigeria
  • Rosli Said Department of Estate Management, University of Malaya, Malaysia

Abstract

This paper examined the relationship between the Nigerian Real Estate Investment Trusts (N-REITs) and Money Market Indicators (MMIs) which comprise of: Currency in Circulation (CIC), Broad Money Supply (BMS), Corporate-private Sector (CPS), Prime Lending Rate (PLR) and Treasury Bill Rate (TBR). Data for the N-REITs were sourced from the annual published report of SkyeREIT (an indirect real estate investment vehicle of Skye Shelter Fund Plc), while that of the MMI were sourced from the quarterly published bulletins of the Central Bank of Nigeria (CBN) and the National Bureau of Statistics (NBS) for the period 2008-2017. The study adopted the Co-integration test, Vector Autoregressive (VAR) and Vector Error Correction Model (VECM). The data collected passed the stationary test at p-value of p<0.05 which implies that the data is fit for Granger Causality Model (GSM) in a VAR environment. The co-integration test at 5% confidence level shows the existence of a partial long-run relationship at p-values of 0.0003, 0.0292 and 0.0297 respectively at the first three orders, while the Max-Eigen rank test was significant at the first order (none) with a p-value of 0.005. The results of the VAR and VEC models showed that CPS, PLR and TBR, with chi-square values of 11.748; 16.589; and 34.778 respectively, significantly affected the performance of N-REITs, while the PLR (4.5798) had a long-run significant effect. The findings provide decision caution for investors, analysts and capital market players when considering investment on securitised real estate assets.

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Author Biographies

Tomisi Olusegun Adegunle, Department of Estate Management and Valuation, Moshood Abiola Polytechnic, Abeokuta, Nigeria

Department of Estate Management and Valuation

Lecturer

Oluwatosin Babatola Fateye, Department of Estate Management and Valuation, Moshood Abiola Polytechnic, Abeokuta, Nigeria

Department of Estate Management and Valuation

Lecturer

Cyril Ayodele Ajayi, Department of Estate Management, Obafemi Awolowo University, Nigeria

Department of Estate Management

Professor

Published
2019-07-19
How to Cite
OLANRELE, Olusegun Olaopin et al. Causal Relationship between N-REIT's Dividend Yield and Money Market Indicators. Journal of African Real Estate Research, [S.l.], v. 4, n. 1, p. 71-91, july 2019. ISSN 2304-8395. Available at: <http://journals.uct.ac.za/index.php/JARER/article/view/720>. Date accessed: 22 aug. 2019. doi: https://doi.org/10.15641/jarer.v4i1.720.
Section
Research Articles