The significance and performance of Malaysian listed property companies in Pan-Asian property portfolios

Abstract

The performance and significance of property securities in Malaysia has not been analysed due to a lack of awareness and expertise in Malaysia, particularly on property investment from the academic point of view. In order to determine whether property has performed well, it requires measuring performance so that investment management related decisions can be determined on a regular basis. Thus, it also is important to analyse the portfolio diversification benefits of the Malaysian listed property securities market. To strengthen the output of this research, the comparison with other pan-Asian countries will be assessed to determine the international contribution of the Malaysian listed property securities market in pan-Asian portfolios. Furthermore, some advanced statistical modelling will be conducted to give a better perspective of the performance of the Malaysian listed property securities market from the empirical analysis point of view. The objectives of this thesis are as follows: i. To assess the significance of the Malaysian listed property securities market. ii. To analyse the performance of the Malaysian listed property securities market as well as the contribution to diversification benefits by Malaysian listed property in mixed-asset portfolios. iii. To compare the performance of the Malaysian listed property securities market with other markets in Asia. iv. To assess the role of the Malaysian listed property securities market in a pan- Asian property portfolio context. v. To assess the impact of the Global Financial Crisis on property securities investment in Malaysia and Asia. This thesis will analyse the performance of property securities markets, for listed property companies in Malaysia, from 1998 to 2012. Risk-adjusted performance analysis will be used to assess the added value of Malaysian listed property companies in pan-Asian portfolios. Portfolio diversification benefits of Malaysian listed property companies will also be assessed. For the various indirect properties and associated financial series for Malaysia, risk-adjusted returns will be assessed from 1998 to 2012. This period has been chosen because of the two financial crises which occurred during this period. It is interesting to study the impact of these financial crises (the AFC and the Global financial crisis) to Malaysian listed property companies, as well as other pan-Asian countries. Performance analysis will use local currencies, as international investors typically implement their own currency hedging strategies to control currency risk. Regional and mixed-asset portfolio diversification benefits will be assessed using correlation analysis.

Date of Award	2015
Original language	English