Citation

Razak, Muhammad Zaim and Azmi, Muhammad Aqhari (2026) Interdependence and Portfolio Analysis of Property Sector Real Estate Investment Trusts (REITs) in Malaysia during COVID-19. International Journal of Management Finance and Accounting, 7 (1). p. 1. ISSN 2735-1009

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Abstract

This study examines the benefits of incorporating Malaysian Real Estate Investment Trusts (REITs) into a mixed-asset portfolio, with a focus on the periods preceding, during, and following the COVID-19 pandemic. The study utilises daily data from 1 January, 2018 to 21 October 2024, sourced from the Datastream database. By utilising the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model, the study examines the volatility of office property REITs and retail property REITs, as well as the linkages between these assets and stocks and bonds. The findings reveal that REITs exhibit unique volatility structures and correlations with other financial assets, which vary over time. During the pandemic, retail REITs experienced higher volatility than office REITs, impacting their diversification benefits. Meanwhile, post-pandemic, office REITs demonstrated better risk-adjusted returns. The inclusion of REITs in investment portfolios consistently improved performance across different periods, underscoring their value in enhancing portfolio resilience against market disruptions. This present study offers a novel perspective on the asset allocation literature by highlighting the significance of considering property sector REITs in investment strategies that align with investors' risk appetites and market conditions.

Item Type:	Article
Uncontrolled Keywords:	Real Estate Investment Trusts (REITs), Property Sector, Stocks, Bonds, Diversification
Subjects:	H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
Divisions:	Others
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	08 Jul 2026 06:41
Last Modified:	08 Jul 2026 06:41
URII:	http://shdl.mmu.edu.my/id/eprint/16255

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