Abstract
M.Com. (Finance)
International financial markets are becoming integrated especially in the developed financial markets. This increased integration between financial markets is caused by increased globalisation and as a result, investors and portfolio managers are faced with challenges when it comes to portfolio diversification of developed listed real estate markets. Literature indicates that investing in emerging financial markets as an alternative investment avenue may provide investors and portfolio managers with significant diversification benefits. Most of these studies were based on developed economies with the concentration on mixed asset portfolios and reflected limited research. This mainly focused on listed real estate only, with portfolios from the emerging financial markets. This study examined the existence of any diversification benefits of listed real estate within BRICS markets portfolios for the period of 11 January 2010 to 30 December 2016 using a daily data. Research techniques such as the Johansen co-integration test, the VECMs and VAR (Impulse response functions and Variance Decompositions) were used. Overall findings of the study confirmed that there was co-integration present among the BRICS listed real estate markets. Results further indicated that their co-integration was low but no evidence of long run relationship between these markets. In addition, the results indicated that within the BRICS listed real estate markets, Chinese and South African markets were exogenous. Even though China and South Africa are exogenous variables there was no evidence of these two markets causing a major impact on the other three markets (Brazil, India and Russia) during a short and long run period. Therefore it further confirms that there is a possibility of diversification benefits which can be achieved within a BRICS listed real estate portfolio.