South African Real Estate Investment Trusts Prefer Tuesdays

Oluwaseun Damilola Ajayi () and Emmanuel Kofi Gavu
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Oluwaseun Damilola Ajayi: Department of Real Estate, School of Built Environment, London Metropolitan University, London N7 8DB, UK
Emmanuel Kofi Gavu: Department of Land Economy, Kwame Nkrumah University of Science and Technology (KNUST), Kumasi PMB UPO, Ghana

JRFM, 2024, vol. 17, issue 5, 1-18

Abstract: This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues.

Keywords: day-of-the-week effect; efficient market hypothesis; market liquidity; Kruskal–Wallis; GARCH; REITs (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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