Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

ความสัมพันธ์ของทรัสต์เพื่อการลงทุนในอสังหาริมทรัพย์ (REITs) ในเอเชีย และผลกระทบจากการระบาดของโรคติดเชื้อไวรัสโคโรนา 2019 (COVID-19)

Year (A.D.)


Document Type

Independent Study

First Advisor

Anirut Pisedtasalasai


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic. The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen cointegration test, Granger causality test, impulse response functions, and variance decomposition. In addition, U.S. REIT is incorporated to emphasis the its impact on Asia markets. The results indicate market integration at long-run period as REIT performance is closely related to the direct real estate market whereas REIT is affected by shocks and noise like stock in short-run. Moreover, it is found that Asia developed markets (Japan, Singapore, Hong Kong) are segmented and influence others which could be due to similar economic situation and the liquidity spilling over to emerging markets. The interdependent significantly changes after the breakout of COVID-19 suggesting international diversification in short run. It varies depending on the characteristics and capital structure of REIT. While, the recovery of REIT may rely on different disease control measures, monetary policy, and fund flow. The results show that the markets dominated by hotel and retail REIT (Singapore, Thailand, and Malaysia) have higher cointegration and differentiate from the others. Furthermore, the impact of U.S. significantly increases during the COVID-19 period which is the possible effect of massive COVID-19 stimulus packages of U.S. to Asian REIT markets.



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