Causal Relationship of N-REITs Dividend Yield and Money Market Indicators: A Case Study of Skye Shelter REIT

O. O. Olanrele, T. O. Adegunle and O. B. Fateye

AfRES from African Real Estate Society (AfRES)

Abstract: Purpose: This paper examined the relationship between listed Nigeria real estate investment trusts (N-REITs) and money market indicators (MMI) in the period 2008-2016 in an attempt to document the statistical significance of the indicators on N-REITs dividend returns.Design/Methodology/Approach- Quarterly data on dividend returns of Skye Shelter REIT were used as proxy for listed N-REITs return, while data on MMI were extracted from published Central Bank of Nigeria (CBN) and National Bureau of Statistics (NBS) bulletins from 2008-2016. The study deployed Augmented Dickey-Fuller test statistic (ADF t-statistic) to test for unit root and stationarity status of deterministic trend in the data collected. The degree of association, the existence of co-integration and the test for statistical significance between N-REITs and MMI were measured using correlation analysis, Johansen Co-Integration Test and granger causality test of VAR and VECM respectively.Finding: At p-value

Keywords: Causality; dividend; money markets indicators; REITs (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2018-09-01
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