MARKET RETURN AND INTEREST RATE SIGNIFICANCE ON MALAYSIAN REAL ESTATE INVESTMENT TRUSTS

Return analysis on Real Estate Investment Trusts (REITs) has been widely studied in the developed country. In Malaysia however, research on REITs mainly focuses on performance analysis. Hence, this study tries to fill the gap by examining the significance of REITs returns towards the stock market and interest rate changes. 12 REITs company were used as samples to construct a balanced panel regression for the period of 2005-2007. Consistent with prior research, results provide and evidence that market returns, short-term interest rates and long-term interest rates does have an impact on REITs returns. Market returns shows a consistent positive and significant value. Both short-and long-term interest rates are found to be consistently negative and significant to REITs returns. In regards to firm�s characteristics namely size, leverage and propertytype diversification, not single characteristics were found to be responsive to the market return coefficient and both short-and long-term interest rates coefficient