Purpose: This paper examined the relationship between listed Nigeria real estate investment trusts (N-REITs) and money market indicators (MMI) in the period 2008-2016 in an attempt to document the statistical significance of the indicators on N-REITs dividend returns.

Design/Methodology/Approach- Quarterly data on dividend returns of Skye Shelter REIT were used as proxy for listed N-REITs return, while data on MMI were extracted from published Central Bank of Nigeria (CBN) and National Bureau of Statistics (NBS) bulletins from 2008-2016. The study deployed Augmented Dickey-Fuller test statistic (ADF t-statistic) to test for unit root and stationarity status of deterministic trend in the data collected. The degree of association, the existence of co-integration and the test for statistical significance between N-REITs and MMI were measured using correlation analysis, Johansen Co-Integration Test and granger causality test of VAR and VECM respectively.

Finding: At p-value <0.05; the data passed the ADF t-test using Schwarz information criterion (SIC) at 1st Difference indicating stationary data series as required for granger causality model, while Trace and Max-Eigen statistics indicate co-integration confirming a long term relationship among the variables. The predicted granger causality analysis of an insignificant long term causal relationship and a short run significant causal relationship between N-REITs returns and MMI were confirmed.

Practical implications: Information on MMI indicators simulates caution signal and provide informed decision for investors in the Nigeria real estate sector. The study is important to investment analysts and capital market players.

Originality/Value: This study is first to investigate the causal relationship of money market indicators and N-REITs returns. Whereas, previous studies examined the performance of indirect property investment including REITs, effects of macro-economic factors on REITs and MMI in isolation.