Abstract
![CDATA[This study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004-2008. An Exponential-Generalized Autoregressive Conditional Heteoskedasticity (EGARCH) model is employed to analyze the volatility series of REIT futures. The results show that REITs futures are heavily influenced by REITs and stocks, suggesting that the news originated from these markets will affect REITs futures. The results also illustrates that the equity market is more influential than REITs in affecting the volatility of REIT futures. It is also shown that REIT futures are more sensitive to negative news than positive news. These findings have provided additional insights into the volatility patterns of property futures.]]
Original language | English |
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Title of host publication | Proceedings of the 16th Annual Pacific Rim Real Estate Society Conference, 24-27 January 2010, Intercontinental Hotel, Wellington, New Zealand |
Publisher | Pacific Rim Real Estate Society |
Pages | 1-42 |
Number of pages | 42 |
Publication status | Published - 2010 |
Event | Pacific Rim Real Estate Society Conference - Duration: 1 Jan 2010 → … |
Conference
Conference | Pacific Rim Real Estate Society Conference |
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Period | 1/01/10 → … |
Keywords
- futures market
- real estate investment trusts (REITs)