Browsing by Author "AKINLABI, Ololade Wahab"

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    Integration and Response to Macroeconomic Shocks of Real Estate and Other Listed Investment Assets in Nigeria
    (The Department of Estate Management, Faculty of Environmental Design and Management, Obafemi Awolowo University., 2022) AKINLABI, Ololade Wahab
    This study examined the risk-return characteristics of real estate assets and other listed investment assets in Nigeria from 2009 to 2020; examined trends in the selected macroeconomic factors from 2009 to 2020; determined the level of integration between real estate asset and other listed investment assets; and analysed the response of real estate asset and other listed investment assets to macroeconomic shocks. These were with a view to enhancing optimal investment decisions. Secondary data were obtained from the periodicals of the four indirect real estate companies which are UACN Property Development Company (UPDC REITs), United African Company of Nigeria (UACN PROP), Union Home and Skye Shelter. Data were also obtained from the Nigerian Stock Exchange (NSE) market for other listed investment assets which represent the five sectorial indexes in the NSE market such as NSE Banking, NSE Oil and Gas, NSE Industrial, NSE Insurance and NSE Consumer. Data for the macroeconomic factors, inflation rate, interest rate, unemployment rate, GDP and exchange rate were obtained from the statistical bulletin of the Central Bank of Nigeria statistical bulletin and through National Bureau of Statistics (NBS). The data obtained were analysed using statistical method of analysis namely; holding period return, Sharp index, trend lines and percentages. Furthermore, the data were also analysed using econometric models such as Johansen Co-integration test and impulse response. The results showed that indirect real estate asset outperformed other listed investment asset on return basis with an annual average return of 4.80%, while NSE Banking, NSE Consumer, NSE Industrial, NSE Insurance and NSE Oil and Gas had annual average returns of 0.83%, 0.31%, -2.23%, -2.18% and -0.03% respectively. On risk adjusted basis, NSE Banking, NSE Insurance and NSE Oil and Gas with annual average Sharpe indexes of 14.48%, 10.51% and 13.29% xiii respectively outperformed indirect real estate asset with a Sharpe index of 8.56%. The study results also intermittent fluctuations in the macroeconomic factors with inflation rate having the highest annual average fluctuation rate of 57.80%, followed by unemployment rate, exchange rate, GDP and interest rate with annual average fluctuation rates of 47.75%, 24.27% 12.84% and -5.12% respectively. The study further established a high level of co-integration between indirect real estate asset and other listed investment assets with trace statistic values of 135.5154, 89.33693, 56.04027, 33.32248, 19.76068 and 6.925179 which were greater their corresponding critical values at 95.75366, 69.81889, 47.85613, 29.79707, 15.49471 and 3.841466 at each rank. This indicates that the assets have long run convergence and have similar reactions to market fundamentals. The study further confirmed the long run integration of indirect real estate asset and other listed investment assets by establishing similar positive and negative long run responses of the assets to macroeconomic shocks. This study concluded that given the high level of integration of indirect real estate asset and other listed investment assets, it is advisable for investors not to consider the combination of these assets in an investment portfolio as they will bring little or no diversification benefit at the long run.