Abstract Islamic REIT (I-REITs) were introduced to the Malaysian stock market approximately ten years ago. This paper assesses dynamic linkages by using the Granger causality test of I-REITs. The study period is from 2008 to 2014. The study concentrates on comparisons between I-REITs and conventional REITs (C-REITs) and provides a better overview of comparisons and linkages of both asset classes. A Cointegration Test determined that a mixed-asset portfolio is cointegrated and shows less diversification benefits between the mixed-asset portfolios. The Granger causality test results has identified that industry portfolio can cause Granger I-REITs’ returns to change. This further confirms that I-REITs have good potential to diversify within any asset classes, including shares and bonds.

中文翻译：

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马来西亚混合资产投资组合中回教房地产投资信托的联系动态

摘要伊斯兰房地产投资信托（I-REITs）大约在十年前被引入马来西亚股票市场。本文通过对I-REIT进行Granger因果检验来评估动态联系。研究期为2008年至2014年。该研究集中于I-REIT和传统REIT（C-REIT）之间的比较，并提供了两种资产类别的比较和联系的更好概述。协整检验确定混合资产投资组合是协整的，显示混合资产投资组合之间的多元化收益较少。格兰杰因果关系测试结果表明，行业组合可能导致格兰杰I-REIT的回报发生变化。这进一步证实，I-REIT具有在任何资产类别（包括股票和债券）中进行多元化的良好潜力。