Paper Title
The Significance And Performance Of Listed Property Securities In Indonesia

Abstract
Purpose – As an asset class, listed property securities and REITs have taken on increased significance in Asia in recent years, with Indonesia REITs (DIREs) having been regulated to become a promising property investment vehicle in 2007. The purpose of this paper is to assess the dynamics of risk-adjusted performance and portfolio diversification benefits of listed property securities in a mixed-asset portfolio context in Indonesia over July 2006 – Dec. 2018. The post-GFC recovery of listed property securities is also assessed. Design/methodology/approach – Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of Listed property securities over July 2006 – Dec. 2018 is assessed, with efficient frontiers and asset allocation diagrams used to assess the role of listed property securities in a mixed-asset portfolio. Sub-period analyses are conducted to assess the post-GFC recovery of listed property securities. Findings – Listed property securities delivered marginally lower returns and higher risk compared to stocks before the GFC, with bonds giving both lowest returns and risks. The impact of the GFC was highest to the Indonesian property securities compared to stocks, where properties did not deliver strong risk-adjusted returns. Notwithstanding the poor risk-adjusted performance, Indonesian property securities had low correlations with stocks and bonds, suggested some level of diversification potential for stocks and bonds investors. Stocks provided both marginally higher returns and risks during pre-GFC, while significantly outperformed over the post-GFC and full period. Over the post-GFC period, while stocks continued to provide highest returns and reduced risks, listed property securities was under heavy impact, continued to provide lowest returns and highest risks. This analysis shows a prolonged recovering and slow bouncing adjustment of listed property securities from the economic change. Research limitations – The use of the indices of Standard and Poor’s Indonesia property total return, MSCI Indonesia total return, Indonesia 10 -year bonds total return and Indonesia 3-month bill total return to study the Indonesia listed property securities may have aggregation effects in its underperformance. Practical implications – Although under increasing adjustment and positive adapted regulations from the Indonesian government over the post-GFC recovery period, listed property securities in Indonesia needs stronger and efficiently adapted regulations to a competitive level of current regulationson the listed property companies /REITs in the region and globally. The present study will provide guidance to investors as well as policymakers regarding the Indonesian property market. Originality/value – This paper is the first published present the significance and performance of Indonesian listed property securities and empirical research analysis of the risk-adjusted performance of listed property securities and its role in a portfolio in Indonesia. Given the increased significance of listed property securities/REITs in Asia, this research highlights more information of opportunities and the ongoing property investment issues in Indonesia. Keywords - Indonesia, Listed property securities, risk-adjusted returns, portfolio diversification, asset allocation.