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Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent

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  • Liu, Jian
  • Cheng, Cheng
  • Yang, Xianglin
  • Yan, Lizhao
  • Lai, Yongzeng

Abstract

At present, as China promotes the virtuous circle of housing leasing market, Real Estate Investment Trusts (REITs) has become an important investment and financing tool. In this paper, Hurst exponent is used to examine the efficiency of Hong Kong REITs market in China, and time-varying Hurst exponent is used to explore the dynamic changes of its efficiency. The empirical results of the Hong Kong REITs market show that the Hong Kong REITs market has not yet reached weak efficiency, and it is basically in a state of inefficiency from November 25 2005 to October 10, 2018, with only three times approximate to weak-form efficiency, but the duration is very short. Furthermore, compared with the Hong Kong stock market and the real estate market, the degree of efficiency of the Hong Kong REITs market is the lowest. Finally, on this basis, some countermeasures and suggestions for the development of China’s REITs market are put forward. This paper not only enriches the study of REITs market, but also provides the relevant basis for investors to make investment decisions.

Suggested Citation

  • Liu, Jian & Cheng, Cheng & Yang, Xianglin & Yan, Lizhao & Lai, Yongzeng, 2019. "Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    • Handle: RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119311720
    DOI: 10.1016/j.physa.2019.122035
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