The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables.


The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test.


The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets.

Practical implications

The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers.


The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.


  • Interest rates
  • Asian REITs
  • Johansen cointegration test
  • Macroeconomic variables
  • Causality test
  • Government spending


Loo, W.K., Anuar, M.A. and Ramakrishnan, S. (2016), “Integration between the Asian REIT markets and macroeconomic variables”, Journal of Property Investment & Finance, Vol. 34 No. 1, pp. 68-82. https://doi.org/10.1108/JPIF-12-2014-0070

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I am a PhD holder with 9 years of teaching experience at secondary school and university. My expertizes are mathematics, statistics, econometrics, finance and machine learning.

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