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Volatility spillover effect of pan-asia’s property portfolio markets

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 countr...

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Main Authors: Mata, M. N., Razali, M. N., Bentes, S. R., Vieira, I.
Format: Article
Language:English
Published: MDPI AG 2021
Subjects:
G154.9-155.8 Travel and state. Tourism
Online Access:http://eprints.utm.my/id/eprint/94507/1/MuhammadNajibRazali2021_VolatilitySpilloverEffectofPanAsia.pdf
http://eprints.utm.my/id/eprint/94507/
http://dx.doi.org/10.3390/math9121418
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spelling my.utm.945072022-03-31T14:55:16Z http://eprints.utm.my/id/eprint/94507/ Volatility spillover effect of pan-asia’s property portfolio markets Mata, M. N. Razali, M. N. Bentes, S. R. Vieira, I. G154.9-155.8 Travel and state. Tourism 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. MDPI AG 2021 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/94507/1/MuhammadNajibRazali2021_VolatilitySpilloverEffectofPanAsia.pdf Mata, M. N. and Razali, M. N. and Bentes, S. R. and Vieira, I. (2021) Volatility spillover effect of pan-asia’s property portfolio markets. Mathematics, 9 (12). ISSN 2227-7390 http://dx.doi.org/10.3390/math9121418 DOI: 10.3390/math9121418
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 G154.9-155.8 Travel and state. Tourism
spellingShingle G154.9-155.8 Travel and state. Tourism
Mata, M. N.
Razali, M. N.
Bentes, S. R.
Vieira, I.
Volatility spillover effect of pan-asia’s property portfolio markets
description 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.
format Article
author Mata, M. N.
Razali, M. N.
Bentes, S. R.
Vieira, I.
author_facet Mata, M. N.
Razali, M. N.
Bentes, S. R.
Vieira, I.
author_sort Mata, M. N.
title Volatility spillover effect of pan-asia’s property portfolio markets
title_short Volatility spillover effect of pan-asia’s property portfolio markets
title_full Volatility spillover effect of pan-asia’s property portfolio markets
title_fullStr Volatility spillover effect of pan-asia’s property portfolio markets
title_full_unstemmed Volatility spillover effect of pan-asia’s property portfolio markets
title_sort volatility spillover effect of pan-asia’s property portfolio markets
publisher MDPI AG
publishDate 2021
url http://eprints.utm.my/id/eprint/94507/1/MuhammadNajibRazali2021_VolatilitySpilloverEffectofPanAsia.pdf
http://eprints.utm.my/id/eprint/94507/
http://dx.doi.org/10.3390/math9121418
_version_ 1729703181981581312
score 13.211869

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