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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/30500
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Title: | Volatility spillover effect of pan-Asia’s property portfolio markets |
Authors: | Mata, Nuno Razali, Muhammad Bentes, Sónia Vieira, Isabel |
Keywords: | Asia property |
Issue Date: | 2021 |
Citation: | MATA, N., RAZALI, M., BENTES, S. and VIEIRA, I. (2021) Volatility spillover effect of pan-Asia’s property portfolio markets, MDPI Mathematics, 9 (12), 1418. |
Abstract: | This study assesses the spillover effect of the listed property companies that cover pan-
Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan,
China, the Philippines, and Hong Kong. The impact of market integration will create a spillover
effect to the countries’ economic performances, in particular the property market. As macroeconomic
factors have high correlation with the performance of property security markets, it is therefore
important to study the spillover effect by integrating the macroeconomic factors. This study has
employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH)
technique to develop the volatility spillover effect among pan-Asian countries. The results reveal
high volatility of listed property companies recorded in Hong Kong and China, while Singapore,
The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors,
gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing
the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors,
the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the
region in developing their own methods for making investment decisions in the property security
market. Furthermore, in uncertain conditions of the financial market, this study will elevate the
transparency of the pan-Asian property portfolio market by providing information on the property
market volatility spillovers. |
URI: | https://www.mdpi.com/2227-7390/9/12/1418 http://hdl.handle.net/10174/30500 |
Type: | article |
Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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