A Test for the Efficiency of Nigerian REITS Stocks

Luis Gil-Alana, Hassana Babangida Umar and Nuruddeen Usman ()

Review of Development Finance Journal, 2023, vol. 13, issue 2, 35-43

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.

Keywords: REITS; long memory; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journ3:v:13:y:2023:i:2:p:35-43

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