Author: loo5288

Modeling the Volatility of Asian REIT markets

Posted on by loo5288

Published on: Pacific Rim Property Research Journal

Abstract:

This paper analyzed the volatility behaviour of Asian real estate investment trust (REIT) markets. The atuoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample forecasting test.  Results showed that the fractional integrated EGARCH model was the best model in forecasting the volatility for most of the Asian REIT markets. The outcome of this study would be useful for REIT investors in understanding the volatility of the Asian REIT markets. Similarly, policy-markets can also make use of this information to create derivative pricing for the future.

The Dynamic Linkage Among The Asian Reits Market

Posted on by loo5288

Published on: Pacific Rim Property Research Journal

Abstract:

This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.

Integration between the Asian REIT markets and macroeconomic variables

Posted on by loo5288

Published on: The journal of property investment and finance

Abstract:

Purpose
– The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables.

Design/methodology/approach
– The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test.

Findings
– The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets.

Practical implications
– The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers.

Originality/value
– The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.