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A Test for the Efficiency of Nigerian REITS Stocks

Author

Listed:
  • Luis Alberiko Gil-Alana
  • Hassana Babangida Umar
  • Nuruddeen Usman

    (University of Navarra, Pamplona, Spain)

Abstract

In this paper, we have examined the time series properties of three Nigerian REITS stocks. Our results, based on fractional integration methods, indicate that two of the REITS series -Skye Shelter Fund (SFSREIT) and Union Homes (UHOMREITdisplay a mean reverting pattern, though with a very different rate of reversion, being much faster in the case of UHOMREIT and are consequently inefficient. For UPDC REIT, however, we cannot reject the null hypothesis of a unit root, thus supporting market efficiency in this case, and implying permanency of shocks. For the rest of the series examined (Brent, S&P500, US REITS and the Nigerian Exchange All Share Index), mean reversion is only found for the S&P500 if the errors are uncorrelated. Policy implications of the results obtained are reported at the end of the manuscript.

Suggested Citation

  • Luis Alberiko Gil-Alana & Hassana Babangida Umar & Nuruddeen Usman, 2023. "A Test for the Efficiency of Nigerian REITS Stocks," Review of Development Finance Journal, Chartered Institute of Development Finance, vol. 13(2), pages 35-43.
    • Handle: RePEc:afj:journ3:v:13:y:2023:i:2:p:35-43
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    File URL: https://journals.co.za/doi/abs/10.10520/ejc-rdfin_v13_n2_a3
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    More about this item

    Keywords

    REITS; long memory; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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