Table 6 Results of Variance Decompositions Analysis Conclusion
Related Figures (7)
Table 1. Definitions and transformation of variables The study aimed to investigate the market co-integration among REITs based on hospitality (AQAR), plantations (HADH) and commercial assets (AXIS). Deriving from equation 1, the estimation of expanded model of the integration of these Islamic Real Estate Investment Trust are shown below: where R is 3 x 3 matrix polynomial parameter estimators, (L) is lag length operators, A is an intercept, and ef is a Gaussian error vector with mean zero and Q is a Varian matrix. alla €f Is d Udlssldil CLIOT VOCLOL Witil MC@all ZOLIO dllG@ se lb dad Valldall lalla. In order to specify properly the VAR model properly, the standard procedure of time series analyses was followed. First, the commonly used augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests were applied to determine the variables' stationarity properties or integration order. Briefly stated, a variable is said to be integrated of order d, written 1(d), if it requires differencing d times to achieve stationarity. Thus, the variable is non-stationary if it is integrated of order 1 or higher. Classification of the variables into stationary and non-stationary variables is crucial since standard statistical procedures can handle only stationary series. Moreover, there also exists a possible long-run co- movement, termed co-integration, among non-stationary variables having the same integration order. In this study, the lag is determined based on Akaike Information Criterion (AIC) which is commonly used for the VAR model. Table 2. Descriptive statistics Note: *denote significant at 1% Table 3. Unit Root Test results Table 5 shows the Pairwise Granger Causality Test for the log series of AQAR, AXIS and HADH. The results of the Granger causality test show two significant causal relationships. First, there is a bi- directional causality result between HADH and AQAR. Second, there is a significant uni-directional causality relationship between AQAR and AXIS suggesting that the return of IREIT-based on Commercial property significantly affected by the return of Hospitality IREIT in Malaysia. This result leads the researchers to conclude that the return of AXIS and HADH were driven by the return of AQAR. The pattern of this causal relationship could be simplified as in figure 1. Figure 1. Analysis on Short Term Granger Causal Relationship Table 4. Johansen Test of Co-integration Table 5. Granger Causality Test result
