The Effectiveness of A-Reit Futures as a Risk Management Strategy in the Global Financial Crisis

Abstract

AbstractA-REITs have been highly successful indirect property investment vehicles in Australia. However, the global financial crisis has had a significant impact on the performance of A-REITs in 2007-09. A-REIT futures were also established on the Australian Stock Exchange (ASX) in August 2002. This paper assesses the performance and trading of the A-REIT futures market over August 2002 - November 2009; particularly highlighting their significantly increased role by institutional investors during the global financial crisis. Using a number of scenarios, these A-REIT futures are also assessed for their effectiveness as a risk management strategy for institutional investors for hedging their A-REIT exposure during the volatility of the global financial crisis.

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