The inflation-hedging properties of Turkish REITs


Erol I. , Tirtiroglu D.

APPLIED ECONOMICS, cilt.40, sa.20, ss.2671-2696, 2008 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 40 Konu: 20
  • Basım Tarihi: 2008
  • Doi Numarası: 10.1080/00036840600970237
  • Dergi Adı: APPLIED ECONOMICS
  • Sayfa Sayıları: ss.2671-2696

Özet

This study empirically tests the inflation-hedging abilities of Turkish REITs in comparison to the indices of common stocks listed on the Istanbul Stock Exchange (ISE) over the period December 1999 to December 2004. Two main factors motivate this study. First, compared to their counterparts in developed capital markets, Turkish REITs have some important tax incentives as well as flexibility in managing their portfolios. Second, the Turkish economy provides a rare and good opportunity to test the hedging behaviour of real estate stocks in periods of both high- and moderate-inflation rates. The empirical results show that Turkish REITs, in general, provide a better hedge against both actual and expected inflation than do the ISE common stock indices. Dividing the entire sample period into the high- and moderate-inflation sub-periods, we find that the hedging ability of REITs is better under high inflation than under moderate inflation.