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Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim

Real estate investment trusts (REITs) show lower average volumes than similar non REITs. Lower average volume is among the main reason of institutional investors' disinterest to invest in REITs. Consequently, the lower participation of institutional investors causes the lower return performa...

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Main Author: Hashim, Hairulnizam
Format: Thesis
Language:English
Published: 2012
Subjects:
Real estate business. Real property
Investment companies. Investment trusts. Mutual funds
Online Access:https://ir.uitm.edu.my/id/eprint/12990/2/12990.pdf
https://ir.uitm.edu.my/id/eprint/12990/
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spelling my.uitm.ir.129902022-12-22T06:33:34Z https://ir.uitm.edu.my/id/eprint/12990/ Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim Hashim, Hairulnizam Real estate business. Real property Investment companies. Investment trusts. Mutual funds Real estate investment trusts (REITs) show lower average volumes than similar non REITs. Lower average volume is among the main reason of institutional investors' disinterest to invest in REITs. Consequently, the lower participation of institutional investors causes the lower return performance of REITs. There are very limited studies on trading volume in REITs. Most of the studies focus on examining the level of trading volume. In reviewing past studies which regard to variables that have significant relationship with trading volume of non-REITs, only proxies for stock market data have been used. This indicate the need to examine other important variables such as macro-economic data, type of returns, firm size, market structure and period eflect in modelling determinants that affect trading volume of REITs. In filling the gap of the previous works, this study had also tested whether variables that have significant relationship and significantly related to trading volume in non-REITs market, will also affect significantly the trading volume of REITs. The variables identified are price return, absolute price return, volatility, dividend yield, percentage change of long-term interest rate, absolute percentage change of long-term interest rate, fum size, year of trading, type of return, trading volume (lag one) and trading volume (lag two). This study examines weekly data of 288 individual REITs from January 2006 to December 2007 across 10 countries, which involve 12 REITs markets and 29,664 firm-weekly observations. This study employs the panel ordinary least square (OLS), fixed etlects model, random effects model, and panel equation testing to identify the best estimation model The cross section fixed effects model (CSFEM) is the best estimation model in explaining 11 out of 12 REITs markets. There are different detem1inants of trading volume in REITs for different market. However, this study discovers similar main determinants for the same region of REITs markets. Trading volume (lag one) revealed as the main determinant on trading volume as evident in the II REITs markets. Since trading volume is a proxy of information rate, the REITs managers should improve dissemination of information to the existing and potential investors. 2012 Thesis NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/12990/2/12990.pdf Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim. (2012) PhD thesis, thesis, Universiti Teknologi MARA.
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Real estate business. Real property
Investment companies. Investment trusts. Mutual funds
spellingShingle Real estate business. Real property
Investment companies. Investment trusts. Mutual funds
Hashim, Hairulnizam
Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
description Real estate investment trusts (REITs) show lower average volumes than similar non REITs. Lower average volume is among the main reason of institutional investors' disinterest to invest in REITs. Consequently, the lower participation of institutional investors causes the lower return performance of REITs. There are very limited studies on trading volume in REITs. Most of the studies focus on examining the level of trading volume. In reviewing past studies which regard to variables that have significant relationship with trading volume of non-REITs, only proxies for stock market data have been used. This indicate the need to examine other important variables such as macro-economic data, type of returns, firm size, market structure and period eflect in modelling determinants that affect trading volume of REITs. In filling the gap of the previous works, this study had also tested whether variables that have significant relationship and significantly related to trading volume in non-REITs market, will also affect significantly the trading volume of REITs. The variables identified are price return, absolute price return, volatility, dividend yield, percentage change of long-term interest rate, absolute percentage change of long-term interest rate, fum size, year of trading, type of return, trading volume (lag one) and trading volume (lag two). This study examines weekly data of 288 individual REITs from January 2006 to December 2007 across 10 countries, which involve 12 REITs markets and 29,664 firm-weekly observations. This study employs the panel ordinary least square (OLS), fixed etlects model, random effects model, and panel equation testing to identify the best estimation model The cross section fixed effects model (CSFEM) is the best estimation model in explaining 11 out of 12 REITs markets. There are different detem1inants of trading volume in REITs for different market. However, this study discovers similar main determinants for the same region of REITs markets. Trading volume (lag one) revealed as the main determinant on trading volume as evident in the II REITs markets. Since trading volume is a proxy of information rate, the REITs managers should improve dissemination of information to the existing and potential investors.
format Thesis
author Hashim, Hairulnizam
author_facet Hashim, Hairulnizam
author_sort Hashim, Hairulnizam
title Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
title_short Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
title_full Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
title_fullStr Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
title_full_unstemmed Determinants of trading volume in real estate investment trusts / Hairulnizam Hashim
title_sort determinants of trading volume in real estate investment trusts / hairulnizam hashim
publishDate 2012
url https://ir.uitm.edu.my/id/eprint/12990/2/12990.pdf
https://ir.uitm.edu.my/id/eprint/12990/
_version_ 1753791796009238528
score 13.211869

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