Causal Relationship of N-REITs Dividend Yield and Money Market Indicators: ...

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英文文献：Causal Relationship of N-REITs Dividend Yield and Money Market Indicators: A Case Study of Skye Shelter REIT-n -REIT股利收益率与货币市场指标的因果关系:以Skye Shelter REIT为例
英文文献作者：O. O. Olanrele,T. O. Adegunle,O. B. Fateye
英文文献摘要：
Purpose: This paper examined the relationship between listed Nigeria real estate investment trusts (N-REITs) and money market indicators (MMI) in the period 2008-2016 in an attempt to document the statistical significance of the indicators on N-REITs dividend returns.Design/Methodology/Approach- Quarterly data on dividend returns of Skye Shelter REIT were used as proxy for listed N-REITs return, while data on MMI were extracted from published Central Bank of Nigeria (CBN) and National Bureau of Statistics (NBS) bulletins from 2008-2016. The study deployed Augmented Dickey-Fuller test statistic (ADF t-statistic) to test for unit root and stationarity status of deterministic trend in the data collected. The degree of association, the existence of co-integration and the test for statistical significance between N-REITs and MMI were measured using correlation analysis, Johansen Co-Integration Test and granger causality test of VAR and VECM respectively.Finding: At p-value

目的:本文研究了2008-2016年上市的尼日利亚房地产投资信托(N-REITs)与货币市场指标(MMI)之间的关系，试图证明N-REITs红利回报指标的统计意义。设计/方法/方法——使用Skye Shelter REIT的季度股息回报数据作为上市n -REIT回报的代理，而MMI数据取自2008-2016年尼日利亚央行(CBN)和国家统计局(NBS)发布的公报。本研究采用扩增Dickey-Fuller检验统计量(ADF t统计量)检验所收集数据的单位根和确定性趋势的平稳性状态。分别采用VAR和VECM的相关分析、Johansen协整检验和granger因果关系检验来衡量N-REITs和MMI之间的关联度、是否存在协整以及是否有统计学显著性。发现:在假定值

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