An examination of volatility dynamics In Australian REIT futures

Chyi Lin Lee

    Research output: Chapter in Book / Conference PaperConference Paper

    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 languageEnglish
    Title of host publicationProceedings of the 16th Annual Pacific Rim Real Estate Society Conference, 24-27 January 2010, Intercontinental Hotel, Wellington, New Zealand
    PublisherPacific Rim Real Estate Society
    Pages1-42
    Number of pages42
    Publication statusPublished - 2010
    EventPacific Rim Real Estate Society Conference -
    Duration: 1 Jan 2010 → …

    Conference

    ConferencePacific Rim Real Estate Society Conference
    Period1/01/10 → …

    Keywords

    • futures market
    • real estate investment trusts (REITs)

    Fingerprint

    Dive into the research topics of 'An examination of volatility dynamics In Australian REIT futures'. Together they form a unique fingerprint.

    Cite this