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Examining volatility spillover in Asian REIT markets

Lin, P.-T. (2013) Examining volatility spillover in Asian REIT markets. Applied Financial Economics, 23 (22). pp. 1701-1705. ISSN 0960-3107

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To link to this item DOI: 10.1080/09603107.2013.848023


This article provides international evidence on the effects of volatility spillover in Asian real estate investment trust (REIT) markets. Six Asian markets (Taiwan, Japan, Malaysia, Singapore, Hong Kong and South Korea) are examined through the generalized autoregressive conditional heteroscedasticity (GARCH) model with exogenous variables in the variance equation. Results show a negative spillover effect from the stock to REIT market, but a positive spillover from the bond to REIT market. During the financial crisis from 2007 to 2009, the negative volatility spillover from the stock to REIT market is significantly enhanced. This suggests that a prosperous stock market would decrease conditional volatility in the REIT market and the effect is more pronounced during the financial crisis

Item Type:Article
Divisions:Henley Business School > Real Estate and Planning
ID Code:73057
Publisher:Taylor and Francis

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