Do Real Estate Asset and Other Listed Investment Assets Respond Similarly to Macroeconomic Fluctuations? An Inquiry From the Nigerian Investment Market

Ayodele Oluwafemi and Ololade Akinlabi

ERES from European Real Estate Society (ERES)

Abstract: Purpose: This study analysed the response of indirect real estate asset and other listed investment assets to macroeconomic fluctuations in the Nigerian property market. This is with a view to determining the long-run convergence of indirect real estate assets and other listed investment assets when combined in a portfolio in the Nigerian emerging market.Design/Methodology/Approach: The secondary data collected comprised quarterly returns on the indirect real estate asset and the other listed investment assets; Nigerian Stock Exchange (NSE) Banking, NSE Oil and Gas, NSE Industrial, NSE Insurance and NSE Consumer, for the period of January 2009 to December 2020. Others include quarterly data on five macroeconomic variables which are inflation rate, unemployment rate, exchange rate, GDP and interest rate over the study period. The data were obtained through the daily price list of the Nigeria Stock Exchange (NSE) via NSE website, the Central Bank of Nigeria Statistical Bulletin and the National Bureau of Statistics. The data were analysed using the holding period return, percentages and the impulse response function obtained from the Variance Error Correction Model (VEC).Findings: The result showed that the response of indirect real estate to each macroeconomic fluctuations vary from that of other listed investment assets along the short run. However, the indirect real estate and other listed investment assets readjusted and exhibited similar responses along the long run which connotes that indirect real estate asset and other listed investment assets have long run equilibrium, in order words, they comove at the long run.Practical Implications: The paper implied that indirect real estate asset and other listed investment assets have similar responses to macroeconomic fluctuations along the long run which implies that the asset classes have long run convergence.Originality/value: The paper represents one of the few attempts to examine the long-run response to macroeconomic variations of real estate investment asset and other listed investment asset from emerging market perspective.

Keywords: Macroeconomic factors; macroeconomic fluctuations; real estate asset; investment asset; emerging market (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2022-01-01
New Economics Papers: this item is included in nep-fdg and nep-ure
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