Interdependence of REIT market volatility under an E-GARCH-M framework
Abstract
This study employs a bivariate E-GARCH-M model at one lag on weekly returns of major REITs markets in six countries including Australia, Hong Kong, Japan, Singapore, the UK and the US during and after the crises periods of the Sub-prime Mortgage Crisis, Global Financial Crisis and European Debt Crisis. The results found cross-market linkages vary with countries and changed significantly after the crises period. We find the returns of REITs in Australia, the UK and US to be segmented, and interdependence for Hong Kong, Japan and Singapore markets. In terms of volatility spillovers, the size effect impacts weekly volatility of the three Asian markets. We also find significant asymmetric effects of volatility spillovers between markets during the crises period, but this only persists for the Australian and Singaporean markets following in the post-crisis period. Past volatility has a persistent explanatory effect on current volatility in all the markets examined. Our findings have implications for investors looking to build a diversified portfolio of international real estate investments.
Document Type
Conference Proceeding
Location of the Work
Joondalup, Western Australia
School
School of Business and Law
RAS ID
27345
Copyright
free_to_read
Publisher
Edith Cowan University - School of Business and Law
Comments
Yong, J., & Do, A. (2017). Interdependence of REIT market volatility under an E-GARCH-M framework. In Proceedings of the 2nd Business Doctorl and Emerging Scholars Conference (pp. 64-72).
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