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Switching regime of Malaysian listed property companies within pan-Asian public real estate markets

The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is diffi...

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Main Author: Mohd. Zekri, Mohammad Muzzammil
Format: Thesis
Language:English
Published: 2019
Subjects:
HD1394-1394.5 Real estate management
Online Access:http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf
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spelling my.utm.859932020-08-30T08:48:58Z http://eprints.utm.my/id/eprint/85993/ Switching regime of Malaysian listed property companies within pan-Asian public real estate markets Mohd. Zekri, Mohammad Muzzammil HD1394-1394.5 Real estate management The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is difficult for the findings to be compared with other advanced markets, in terms of the application of advanced statistical methods such as regime-switching. This approach provides more comprehensive results compared to conventional volatility modelling technique. Thus, this research analysed the performance of Malaysian listed property companies within pan-Asian markets, besides employing the more recent volatility modelling approach. Besides, understanding the impact of the Global Financial Crisis (GFC) on the performance and dynamic of volatility of property investment in pan-Asia, particularly Malaysia was also studied. This research employed several quantitative analyses, namely statistical methods and formulas such as total return analysis, risk analysis, Sharpe ratio, correlation and the combination between Markov-switching (MS) and Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH). These were used to analyse secondary data gathered from Thomson Reuters DataStream consisting pan-Asian listed property companies and cash indices. To analyse the impact of the crisis, three sub-periods were established, namely pre- GFC, GFC and post-GFC. The findings showed that Malaysia was one of the most underperforming property markets in pan-Asian between 2000 and 2017. However, Malaysia was able to offer diversification benefits for investors. In addition, based on the sub-period analysis, Malaysia and other pan-Asian markets exhibited negative annual returns with high risk level during the crisis period. This indicated the severe impact of the crisis. Meanwhile, application of regime-switching approach provided new insights into the dynamics of volatility as it is able to divide the property markets into two different volatility regimes, especially during extreme market conditions. The regime-switching approach showed that Malaysian listed property companies recorded negative spill-over effect and leverage effect across three different sub-periods, particularly during high volatility regime. Thus, it is not advisable to invest during those periods. Finally, this study contributes to the literature on the application of regime-switching approach on pan-Asian listed property companies as this has not been studied extensively by previous researchers in the real estate discipline. This is due to the fact that most researchers focus their study towards advanced markets such United States and European property markets. In addition, some recommendations for future studies are made to enhance the knowledge and the quality related to the research on securitised property markets in pan-Asia. 2019 Thesis NonPeerReviewed application/pdf en http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf Mohd. Zekri, Mohammad Muzzammil (2019) Switching regime of Malaysian listed property companies within pan-Asian public real estate markets. Masters thesis, Universiti Teknologi Malaysia, Faculty of Built Environment & Surveying. http://dms.library.utm.my:8080/vital/access/manager/Repository/vital:131442
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic HD1394-1394.5 Real estate management
spellingShingle HD1394-1394.5 Real estate management
Mohd. Zekri, Mohammad Muzzammil
Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
description The ever-changing landscape of property investment activities has introduced several methods and formulas to analyse the performance and dynamics of volatility in the property market, especially in developed markets. Due to the limited research on Malaysia and pan-Asian property markets, it is difficult for the findings to be compared with other advanced markets, in terms of the application of advanced statistical methods such as regime-switching. This approach provides more comprehensive results compared to conventional volatility modelling technique. Thus, this research analysed the performance of Malaysian listed property companies within pan-Asian markets, besides employing the more recent volatility modelling approach. Besides, understanding the impact of the Global Financial Crisis (GFC) on the performance and dynamic of volatility of property investment in pan-Asia, particularly Malaysia was also studied. This research employed several quantitative analyses, namely statistical methods and formulas such as total return analysis, risk analysis, Sharpe ratio, correlation and the combination between Markov-switching (MS) and Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH). These were used to analyse secondary data gathered from Thomson Reuters DataStream consisting pan-Asian listed property companies and cash indices. To analyse the impact of the crisis, three sub-periods were established, namely pre- GFC, GFC and post-GFC. The findings showed that Malaysia was one of the most underperforming property markets in pan-Asian between 2000 and 2017. However, Malaysia was able to offer diversification benefits for investors. In addition, based on the sub-period analysis, Malaysia and other pan-Asian markets exhibited negative annual returns with high risk level during the crisis period. This indicated the severe impact of the crisis. Meanwhile, application of regime-switching approach provided new insights into the dynamics of volatility as it is able to divide the property markets into two different volatility regimes, especially during extreme market conditions. The regime-switching approach showed that Malaysian listed property companies recorded negative spill-over effect and leverage effect across three different sub-periods, particularly during high volatility regime. Thus, it is not advisable to invest during those periods. Finally, this study contributes to the literature on the application of regime-switching approach on pan-Asian listed property companies as this has not been studied extensively by previous researchers in the real estate discipline. This is due to the fact that most researchers focus their study towards advanced markets such United States and European property markets. In addition, some recommendations for future studies are made to enhance the knowledge and the quality related to the research on securitised property markets in pan-Asia.
format Thesis
author Mohd. Zekri, Mohammad Muzzammil
author_facet Mohd. Zekri, Mohammad Muzzammil
author_sort Mohd. Zekri, Mohammad Muzzammil
title Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_short Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_full Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_fullStr Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_full_unstemmed Switching regime of Malaysian listed property companies within pan-Asian public real estate markets
title_sort switching regime of malaysian listed property companies within pan-asian public real estate markets
publishDate 2019
url http://eprints.utm.my/id/eprint/85993/1/MohammadMuzzammilMohdMFABU2019.pdf
http://eprints.utm.my/id/eprint/85993/
http://dms.library.utm.my:8080/vital/access/manager/Repository/vital:131442
_version_ 1677781114885767168
score 13.211869

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