A Test for the Efficiency of Nigerian REITS Stocks.
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Abstract
In this paper, we have examined the time series properties of three Nigerian REITS stocks. Our results, based on fractional integration methods, indicate that two of the REITS series -Skye Shelter Fund (SFSREIT) and Union Homes (UHOMREIT- display a mean reverting pattern, though with a very different rate of reversion, being much faster in the case of UHOMREIT and are consequently inefficient. For UPDC REIT, however, we cannot reject the null hypothesis of a unit root, thus supporting market efficiency in this case, and implying permanency of shocks. For the rest of the series examined (Brent, S&P500, US REITS and the Nigerian Exchange All Share Index), mean reversion is only found for the S&P500 if the errors are uncorrelated. Policy implications of the results obtained are reported at the end of the manuscript.