The dynamics of listed property companies in Indonesia

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2020-12-20 DOI:10.1108/jpif-06-2019-0073
T. Nguyen, M. N. Razali
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The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed.Design/methodology/approachUsing monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs.FindingsListed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented.Research limitations/implicationsThe use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets.Practical implicationsListed PCs have been under increasingly adjusted and positively adapted regulations from the Indonesian Government over the post-GFC period. Therefore, in order to attract interest from international investors in property investment in Indonesia, listed PCs need stronger and more efficiently adapted regulations to a competitive level of respective regulations in the region and globally. Notwithstanding the poor performance in the transitional stage, Indonesian listed PCs bring some diversification benefits to local investors who are able to pick the outperformed invested PCs at the right time. Of the on-going concerns, international investors have no restrictions on holding listed PCs in the Indonesian stock market. This provides room for improvement in business performance in listed PCs as a result of regional/global competition and international management being involved. The present study delivers awareness to investors, researchers as well as policymakers on the Indonesian property market.Originality/valueThis paper is the first published to present a country profile of significant property vehicles (commercial property, listed PCs and REITs). It also presents empirical research analysis of the risk-adjusted performance of listed PCs and its dynamic role in a local investors’ perspective across the pre-GFC, GFC, post-GFC periods. 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引用次数: 5

Abstract

PurposeAs an asset class, listed property companies (PCs) in the emerging Asian markets have taken on increased significance in recent years. Investors have seen Indonesian real estate investment trusts (REITs) being regulated to become a property investment vehicle in 2007. This sees macro-environment investment in the Indonesian property market taking off to a higher level regionally. In the background, Indonesian listed PCs maintain as one of the major investment vehicles for local and international investors. It has also been the subject of investment for REITs and property investment funds in Indonesia. The purpose of this paper is to assess the dynamics of risk-adjusted performances and portfolio diversification benefits of listed PCs in a mixed-asset portfolio context in Indonesia, from July 2006 to December 2018. The sub-periods of pre-global financial crisis (GFC), GFC and post-GFC of listed PCs is also assessed.Design/methodology/approachUsing monthly total returns, the risk-adjusted performance and portfolio diversification benefits of listed PCs from July 2006 to December 2018 are assessed, with extended efficient frontiers and asset allocation diagrams used to assess the role of listed PCs in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed PCs.FindingsListed PCs delivered higher returns but carried higher risks compared to stocks before the GFC, with bonds having both the lowest returns and risks. The impact of the GFC was highest for Indonesian PCs compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian PCs had low correlations with stocks and bonds, suggesting some level of diversification potential for stock and bond investors. Stocks outperformed listed PCs across the sub-periods and the full period. Over the post-GFC period, both stocks and listed PCs recovered from the crisis, with stocks turning around stronger. This analysis shows a prolonged recovering and slow bouncing adjustment of listed PCs from the economic changes. This research suggests selected listed PCs may be the outperformers, and, a future contract as a hedge form for listed PC to be implemented.Research limitations/implicationsThe use of the indices of Standard & Poor’s Indonesian property total return (for listed PCs) are as follows: MSCI Indonesia total return (for stocks), Indonesia’s ten-year bond’s total return (for bonds) and Indonesia’s three-month bill total return (for cash). This is used to study the Indonesian listed PCs and may have aggregation effects in its underperformance and therefore drawing a negative outcome. The results may reflect the common fact that the majority of listed PCs in Indonesia are property developers, which also sees underperformances in other emerging country markets.Practical implicationsListed PCs have been under increasingly adjusted and positively adapted regulations from the Indonesian Government over the post-GFC period. Therefore, in order to attract interest from international investors in property investment in Indonesia, listed PCs need stronger and more efficiently adapted regulations to a competitive level of respective regulations in the region and globally. Notwithstanding the poor performance in the transitional stage, Indonesian listed PCs bring some diversification benefits to local investors who are able to pick the outperformed invested PCs at the right time. Of the on-going concerns, international investors have no restrictions on holding listed PCs in the Indonesian stock market. This provides room for improvement in business performance in listed PCs as a result of regional/global competition and international management being involved. The present study delivers awareness to investors, researchers as well as policymakers on the Indonesian property market.Originality/valueThis paper is the first published to present a country profile of significant property vehicles (commercial property, listed PCs and REITs). It also presents empirical research analysis of the risk-adjusted performance of listed PCs and its dynamic role in a local investors’ perspective across the pre-GFC, GFC, post-GFC periods. Given the significance of listed PCs in Asia, this research highlights more information for opportunities and on-going property investment issues in Indonesia.
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印尼房地产上市公司动态
目的作为一种资产类别,亚洲新兴市场的上市房地产公司近年来越来越重要。投资者看到印尼房地产投资信托基金(REITs)在2007年受到监管,成为房地产投资工具。这使得印尼房地产市场的宏观环境投资在区域内上升到一个更高的水平。在这种背景下,印尼上市的PC一直是当地和国际投资者的主要投资工具之一。它也是印度尼西亚房地产投资信托基金和房地产投资基金的投资对象。本文的目的是评估2006年7月至2018年12月在印度尼西亚混合资产投资组合背景下上市PC的风险调整绩效和投资组合多元化收益的动态。还评估了全球金融危机前、全球金融危机后上市PC的子时期。设计/方法/方法使用月度总回报率,评估了2006年7月至2018年12月上市PC的风险调整绩效和投资组合多元化收益,并使用扩展的有效边界和资产配置图来评估上市PC在混合资产投资组合中的作用。进行子期分析是为了评估上市PC在全球金融危机后的复苏情况。发现与全球金融危机前的股票相比,上市PC的回报率更高,但风险更高,债券的回报率和风险都最低。与股票相比,GFC对印尼个人电脑的影响最大,在股票中,房地产并没有带来强劲的风险调整回报。尽管风险调整后的表现不佳,但印尼个人电脑与股票和债券的相关性较低,这表明股票和债券投资者具有一定程度的多元化潜力。股票在各子期和整个期间的表现均优于上市PC。在全球金融危机后的这段时间里,股票和上市PC都从危机中恢复过来,股票开始走强。这一分析表明,上市PC在经济变化的影响下出现了长期的复苏和缓慢的反弹调整。这项研究表明,选定的上市PC可能是跑赢大盘的,未来的合同将作为上市PC的对冲形式。研究局限性/含义标准普尔印尼房地产总回报率指数(针对上市PC)的使用如下:摩根士丹利资本国际印尼总回报率(针对股票)、印尼十年期债券总收益率(针对债券)和印尼三个月期票据总回报率。这用于研究印尼上市的PC,可能对其表现不佳产生聚集效应,因此得出负面结果。这一结果可能反映了一个共同的事实,即印尼上市的PC大多是房地产开发商,而其他新兴国家市场的表现也不佳。实际含义在全球金融危机后时期,印度尼西亚政府对列入名单的个人电脑进行了越来越多的调整和积极调整。因此,为了吸引国际投资者对印尼房地产投资的兴趣,上市PC需要更强有力、更有效地调整法规,以适应该地区和全球各自法规的竞争水平。尽管在过渡阶段表现不佳,但印尼上市的PC为当地投资者带来了一些多元化的好处,他们能够在正确的时间选择表现优异的投资PC。在持续的担忧中,国际投资者对在印尼股市持有上市PC没有任何限制。由于区域/全球竞争和国际管理的参与,这为上市PC的业务表现提供了改进的空间。本研究为投资者、研究人员以及政策制定者提供了对印尼房地产市场的认识。原创性/价值本文首次发表了重要房地产工具(商业地产、上市PC和REITs)的国家概况。它还对上市PC的风险调整后业绩及其在全球金融危机前、全球金融危机后和全球金融危机期间从当地投资者角度的动态作用进行了实证研究分析。鉴于上市PC在亚洲的重要性,本研究强调了更多关于印尼机遇和正在进行的房地产投资问题的信息。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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