Title

Interdependence of REIT market volatility under an E-GARCH-M framework

Document Type

Conference Proceeding

Publisher

Edith Cowan University - School of Business and Law

Place of Publication

Joondalup, Western Australia

Editor(s)

Djajadikerta, H., Yong, J., Roni, S.M., Ong, T., Jogulu, U.

School

School of Business and Law

RAS ID

27345

Comments

Originally published as:

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).

Original article available here

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.

Access Rights

Free_to_read

Share

 
COinS