IDEAS home Printed from https://ideas.repec.org/a/eme/jpifpp/jpif-09-2016-0073.html
   My bibliography  Save this article

Anti-persistence and long-memory behaviour of SAREITs

Author

Listed:
  • Kolawole Ijasan
  • George Tweneboah
  • Jones Odei Mensah

Abstract

Purpose - The purpose of this paper is to provide empirical evidence on the long-memory behaviour of South African real estate investment trusts (SAREITs). Design/methodology/approach - The study employs a battery of advanced techniques to examine the behaviour of returns of 29 SAREIT equities listed on the Johannesburg Stock Exchange. The authors analysed daily closing prices covering different periods up to 21 May 2016. The results provide support for long memory in majority of SAREIT returns. Findings - The finding of negative fractional integration parameters provides evidence of anti-persistence in SAREIT returns. Practical implications - It is recommended that the regulatory authorities adopt technologies that allow a more effective, faster means to disseminate information, and improve the electronic trading mechanism that facilitates quicker price adjustment to news entering the market. Originality/value - The paper determines the fractional differencing (long-memory) parameter for SAREITs and adds value to the existing body of knowledge.

Suggested Citation

  • Kolawole Ijasan & George Tweneboah & Jones Odei Mensah, 2017. "Anti-persistence and long-memory behaviour of SAREITs," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(4), pages 356-368, July.
    • Handle: RePEc:eme:jpifpp:jpif-09-2016-0073
    DOI: 10.1108/JPIF-09-2016-0073
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JPIF-09-2016-0073/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JPIF-09-2016-0073/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/JPIF-09-2016-0073?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jpifpp:jpif-09-2016-0073. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.