Home • PRRES Inc. Journal • Read the Journal

The dynamics of volatility for Asian listed property companies during the global financial crisis

Author/s: Muhammad Najib Razali

Date Published: 2/09/2015

Published in: Volume 21 - 2015 Issue 3 (pages 235 - 257)

Abstract

This paper examines the dynamics of return and volatility for listed property company markets across the major Asian countries over sub-periods based on the global financial crisis (GFC). The GFC and Eurozone crisis have shifted investors’ focus to investment in the Asian region, making it an opportunistic and dynamic region in terms of property portfolio investment. As such, it is of interest to assess return and volatility levels in the Asian region during the global financial crisis. This paper uses EGARCH models to empirically examine the dynamic volatility of listed property companies in 12 Asian countries. The findings reveal that, for the past 15 years, Asia had experienced moderate volatility levels in term of investment in listed property companies, including during the GFC. This study contributes to the empirical literature on the volatility dynamics for Asian property market allocations in international real estate portfolios, especially during a major financial crisis. In particular, the findings from this study will be useful for international investors to better understand the volatility profile of Asian listed property companies during the GFC.

Download Full Article

Download the Full Article PDF

14445921.2016.1140712.pdf 14445921.2016.1140712.pdf (261kB)

Keywords

Asian - Gfc - Listed Property Companies - Returns - Volatility

References

  • Addae-Dapaah, K.Loh, H. (2005) Exchange rate volatility and international real Estate diversification: A comparison of emerging and developed economies, Journal of Real Estate Portfolio Management. 11, p:225-240. Journal of Real Estate Portfolio Management.
  • Brandt, M. W.Jones, C. S. (2006) Volatility forecasting with range-based EGARCH models, Journal of Business & Economic Statistics. 24, p:470-486. Journal of Business & Economic Statistics.
  • CBRE. (2011) The real estate market in Asia-Pacific. Hong Kong:CB Richard Ellis. The real estate market in Asia-Pacific.
  • Chang, C. Y.Chou, J. H. (2012) Time dependent behaviour of the Asian and the US REITs, Journal of Property Investment and Finance. 30, p:4-4. Journal of Property Investment and Finance.
  • Chin, H.Topintzi, E.Hobbs, P.Mansour, A.Keng, T. Y. (2007) Global Real Estate Securities: emergence of a discreet asset class. London: RREEF. Global Real Estate Securities: emergence of a discreet asset class.
  • Cushman, & Wakefield. (2011) Marketbeat. Seoul retail reportCushman & Wakefield. Marketbeat. Seoul retail report.
  • Demyanyk, Y.Hemert, O. (2011) Understanding the Subprime Mortgage Crisis, Review of Financial Studies. 24, p:1848-1880. Review of Financial Studies.
  • DTZ Research. (2011) South East Asia investment opportunities: Socio-economic factors drive investments. Singapore:DTZ. South East Asia investment opportunities: Socio-economic factors drive investments.
  • EPRA. (2012) FTSE EPRA/NAREIT Emerging Index. EPRAEuropean Public Real Estate Association. FTSE EPRA/NAREIT Emerging Index. EPRA.
  • Huerta, D.Jackson, D.Ngo, T. (2015) Categorizing sentiment and its impact on REIT returns, Managerial Finance. 41, p:958-973. Managerial Finance.
  • IPD. (2011) The results of IPD’s Pan Asia return research 2011. London:Investment Property Databank. The results of IPD’s Pan Asia return research 2011.
  • Jin, C.Grissom, T.Ziobrowski, A. (2007) The mixed-asset portfolio for Asia-Pacific markets, Journal of Real Estate Portfolio Management. 13, p:249-256. Journal of Real Estate Portfolio Management.
  • Jones Lang LaSalle. (2011) Pulse-August 2011. Singapore:Jones Lang LaSalle. Pulse-August 2011.
  • Lee, C. L.Ting, K. H. (2009) The role of Malaysian securitised real estate in a mixed-asset portfolio, Journal of Financial Management of Property and Construction. 14, p:208-230. Journal of Financial Management of Property and Construction.
  • Li, D. D.Lin, Y. C.Jin, J. (2012) International volatility transmission of REITs returns, The International Journal of Business and Finance Research. 6, p:41-51. The International Journal of Business and Finance Research.
  • Lim, L. C.Adair, A.McGreal, S. (2002) The perception of real estate investment opportunities in Southeast Asia, Pacific Rim Property Research Journal. 8, p:163-182. Pacific Rim Property Research Journal.
  • Liow, K. H. (2008) Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence, Journal of Property Research. 25, –.p:127-155. Journal of Property Research.
  • Liow, K. H. (2010) Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration, Journal of Property Research. 27, –.p:289-308. Journal of Property Research.
  • Liow, K. H.Adair, A. (2009) Do Asian real estate companies add value to investment portfolio?, Journal of Property Investment and Finance. 27, p:42-64. Journal of Property Investment and Finance.
  • Liow, K. H.Chen, Z.Liu, J. (2011) Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets, The Journal of Real Estate Finance and Economics. 42, p:295-328. The Journal of Real Estate Finance and Economics.
  • Liow, K. H.Ooi, J.Gong, Y. (2005) Cross-market dynamics in property stock markets, Journal of Property Investment and Finance. 23, p:55-75. Journal of Property Investment and Finance.
  • Liow, K. H.Sim, M. C. (2006) The Risk and Return Profile of Asian Real Estate Stocks, Pacific Rim Property Research Journal. 12, p:283-310. Pacific Rim Property Research Journal.
  • Liow, K. H.Webb, J. R. (2006) Common factors in international securitised real estate markets. Ohio: National Universiti of Singapore and Cleveland State University. Common factors in international securitised real estate markets.
  • MacquariesSecurities. (2011) Global Property Pulse. London: , Author. Global Property Pulse.
  • Mei, J. P.Hui, J. (2000) Conditional risk premiums of Asian real estate stocks, Journal of Real Estate Finance and Economics. 21, p:297-313. Journal of Real Estate Finance and Economics.
  • Mei, J. P.Hui, J. (2004) Conditional risk premiums of Asian real estate stocks, Journal of Real Estate Finance and Economics. 21, p:297-313. Journal of Real Estate Finance and Economics.
  • Nelson, D. B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica. 59, –.p:347-370. Econometrica.
  • Newell, G.Chau, K. W.Wong, S. K.Liow, K. H. (2009) The significance and performance of property securities markets in the Asian IFCs, Journal of Property Research. 26, p:125-148. Journal of Property Research.
  • Newell, G.Najib Razali, M. N. (2009) The Impact of the Global Financial Crisis on Commercial Property Investment in Asia, Pacific Rim Property Research Journal. 15, p:430-452. Pacific Rim Property Research Journal.
  • Nguyen, T. K. (2011a) The Significance and Performance of Listed Property Companies in Asian Developed and Emerging Markets, Pacific Rim Property Research Journal. 17, –.p:24-47. Pacific Rim Property Research Journal.
  • Nguyen, T. K. (2011b) The Significance and performance of Asian Listed Property Companies in developed and emerging markets, Sydney: ,.PhDThesis. Western Sydney University.
  • Nguyen, T. K. (2012) The Volatility Spillovers in Asian Listed Property Companies in Developed and Emerging Markets, Pacific Rim Property Research Journal. 18, –.p:49-65. Pacific Rim Property Research Journal.
  • Ooi, T. L.Liow, K. H. (2004) Risk-adjusted performance of real estate stocks: Evidence from developing markets, Journal of Real Estate Research. 26, p:371-395. Journal of Real Estate Research.
  • Pham, A. K. (2011) The Performance of Thai-Reits in A Mixed-Asset Portfolio, Pacific Rim Property Research Journal. 17, –.p:197-214. Pacific Rim Property Research Journal.
  • Pham, A. K. (2012) The dynamics of return and volatility in the emerging and developed Asian Market, Journal of Real Estate Literature. 20, –.p:79-96. Journal of Real Estate Literature.
  • Pham, A. K. (2013) An empirical analysis of real estate investment trusts in Asia: Structure, performance and strategic investment implication, Sydney: ,.PhD Thesis. University of Western Sydney.
  • Real Capital Analytics. (2011) Global Capital Trends: Jan 2011. London:Real Capital Analytics. Global Capital Trends: Jan 2011.
  • Serrano, C.Hoesli, M. (2010) Are Securitized Real Estate Returns more Predictable than Stock Returns?, The Journal of Real Estate Finance and Economics. 41, p:170-192. The Journal of Real Estate Finance and Economics.
  • Steinert, M.Crowe, S. (2001) Global Real Estate Investment: Characteristics, Optimal Portfolio Allocation and Future Trends, Pacific Rim Property Research Journal. 7, p:223-239. Pacific Rim Property Research Journal.
  • Wilson, P. S.Stevenson, S.Zurbruegg, R. (2007) Measuring Spillover Effects Across Asian Property Stocks, Journal of Property Research. 24, p:123-138. Journal of Property Research.
  • Zhou, J.Kang, Z. (2011) A comparison of alternative forecast models of REIT volatility, The Journal of Real Estate Finance and Economics. 42, p:275-294. The Journal of Real Estate Finance and Economics.