English, Article edition: REIT returns: between the Pacific and the Atlantic Deqing Diane Li; Kenneth Yung

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/31487
Physical Description
  • article
Language
  • English

Edition details

Title
  • REIT returns: between the Pacific and the Atlantic
Author
  • Deqing Diane Li
  • Kenneth Yung
Physical Description
  • article
Notes
  • Purpose – The purpose of this paper is twofold in examining the international transmission of REIT returns volatility. The first purpose is to add to the literature on whether the real estate securities market and the broader equity market are integrated. The second objective of the study is to determine whether geographic risk factors can be transmitted beyond their region of influence. Design/​methodology/​approach – The study uses the GARCH(1, 1), EGARCH, and GARCH-M models. Findings – The results show that there are significant international spillovers of REIT returns volatility within the Pacific region. The results also show that there are significant volatility transmissions between the Pacific and the Atlantic regions. Practical implications – The results are consistent with the implication that the real estate sector and the general equity market are integrated such that geographic risk can be transmitted across national borders. The result will have major implications for international investment strategies. Originality/​value – To date, there has been no published study on the international transmission of REIT returns volatility. This study therefore examines whether the conditional variance of REIT returns of a country is affected by volatility transmission across markets in the same region using four Pacific markets.
  • Economic cycles, Portfolio investments, Unit trusts
  • RePEc:eme:rafpps:v:6:y:2007:i:4:p:353-369
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment