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Title: Reits analysis and bubbles detection in five major countries : U.S., U.K., Japan, Australia and Hong Kong
Other Titles: Reits analysis & bubbles detection in five major countries : U.S, U.K, Japan, Australia & Hong Kong
Authors: Haykal, Nayla
Batach, Mira
Advisors: Assaf, Ata 
Subjects: Econometric bubble detection
Issue Date: 2015
This paper analyses the real estate investment trusts (REITs) of U.S. (FTSE index), U.K. (FTSE300 index), Japan (Topix index), Australia (ASX 300 index) and Hong Kong (Hang Seng index). The random walk hypothesis was tested after running the Ljung-Box Q test statistics, three unit root tests (Augmented Dickey–Fuller test, Phillips-Perron test and Zivot-Andrews test), the variance ratio test and the BDS test on the daily returns of the five previously named indices. The tested period extended from the second of January 1999 till the seventh of June 2013. The results of the applied tests provide evidence that the returns are stationary, do not follow a random walk and are not falling within the premise of the Efficient Market Hypothesis. Using the Zivot-Andrews unit root test shows that most of the structural breaks occur between the 2000 and 2500 observations, a time during the financial crisis of 2007-2009 period. Further, the variance ratio test indicate that the returns are serially positively correlated, and those of the BDS test prove that the REITs return series are stochastic non-linear and dependent in the five global markets (U.S., U.K., Japan, Australia, and Hong Kong). This also can be a sign of a possible chaos breaks that might occur in these markets. In order to check if the REITs of these five major markets exhibit any bubble, we finally implement the Right Tailed Augmented Dickey-Fuller test (the supremum ADF test) on the levels of their indices. The results of these Right Tailed ADF tests confirm again the presence of bubbles in the REITs of U.S., U.K., Japan, Australia, and Hong Kong over the period of the financial crisis from 2007 till 2009.
Includes bibliographical references (p. 40-42).

Supervised by Dr. Ata Assaf.
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
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Type: Project
Appears in Collections:UOB Theses and Projects

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