EconPapers    
Economics at your fingertips  
 

Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent

Jian Liu, Cheng Cheng, Xianglin Yang, Lizhao Yan and Yongzeng Lai

Physica A: Statistical Mechanics and its Applications, 2019, vol. 534, issue C

Abstract: At present, as China promotes the virtuous circle of housing leasing market, Real Estate Investment Trusts (REITs) has become an important investment and financing tool. In this paper, Hurst exponent is used to examine the efficiency of Hong Kong REITs market in China, and time-varying Hurst exponent is used to explore the dynamic changes of its efficiency. The empirical results of the Hong Kong REITs market show that the Hong Kong REITs market has not yet reached weak efficiency, and it is basically in a state of inefficiency from November 25 2005 to October 10, 2018, with only three times approximate to weak-form efficiency, but the duration is very short. Furthermore, compared with the Hong Kong stock market and the real estate market, the degree of efficiency of the Hong Kong REITs market is the lowest. Finally, on this basis, some countermeasures and suggestions for the development of China’s REITs market are put forward. This paper not only enriches the study of REITs market, but also provides the relevant basis for investors to make investment decisions.

Keywords: REITs; Market efficiency; Hurst exponent; Long memory (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119311720
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119311720

DOI: 10.1016/j.physa.2019.122035

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-05-02
Handle: RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119311720