Anti-persistence and long-memory behaviour of SAREITs

Kolawole Ijasan, George Tweneboah () and Jones Odei-Mensah ()

Journal of Property Investment & Finance, 2017, vol. 35, issue 4, 356-368

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.

Keywords: Long memory; ARFIMA; Anti-persistence; JSE; SAREITs; Short memory (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:jpifpp:jpif-09-2016-0073

DOI: 10.1108/JPIF-09-2016-0073

Access Statistics for this article

Journal of Property Investment & Finance is currently edited by Nick French

More articles in Journal of Property Investment & Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().