Anti-persistence and long-memory behaviour of SAREITs

Abstract

Purpose

The purpose of this paper is to provide empirical evidence on the long-memory behaviour of South African real estate investment trusts (SAREITs).

Design/methodology/approach

The study employs a battery of advanced techniques to examine the behaviour of returns of 29 SAREIT equities listed on the Johannesburg Stock Exchange. The authors analysed daily closing prices covering different periods up to 21 May 2016. The results provide support for long memory in majority of SAREIT returns.

Findings

The finding of negative fractional integration parameters provides evidence of anti-persistence in SAREIT returns.

Practical implications

It is recommended that the regulatory authorities adopt technologies that allow a more effective, faster means to disseminate information, and improve the electronic trading mechanism that facilitates quicker price adjustment to news entering the market.

Originality/value

The paper determines the fractional differencing (long-memory) parameter for SAREITs and adds value to the existing body of knowledge.

Citation

Ijasan, K., Tweneboah, G. and Mensah, J.O. (2017), "Anti-persistence and long-memory behaviour of SAREITs", Journal of Property Investment & Finance, Vol. 35 No. 4, pp. 356-368. https://doi.org/10.1108/JPIF-09-2016-0073