An examination of volatility dynamics In Australian REIT futures

Chyi Lin Lee

An examination of volatility dynamics In Australian REIT futures

Chyi Lin Lee

School of Business

Research output: Chapter in Book / Conference Paper › Conference Paper

Abstract

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
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
Period	1/01/10 → …

Keywords

futures market
real estate investment trusts (REITs)

Cite this

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title = "An examination of volatility dynamics In Australian REIT futures",

abstract = "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.",

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author = "Lee, \{Chyi Lin\}",

year = "2010",

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pages = "1--42",

booktitle = "Proceedings of the 16th Annual Pacific Rim Real Estate Society Conference, 24-27 January 2010, Intercontinental Hotel, Wellington, New Zealand",

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note = "Pacific Rim Real Estate Society Conference ; Conference date: 01-01-2010",

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N2 - 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.

AB - 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.

KW - futures market

KW - real estate investment trusts (REITs)

UR - http://handle.uws.edu.au:8081/1959.7/504749

M3 - Conference Paper

SP - 1

EP - 42

BT - Proceedings of the 16th Annual Pacific Rim Real Estate Society Conference, 24-27 January 2010, Intercontinental Hotel, Wellington, New Zealand

PB - Pacific Rim Real Estate Society

T2 - Pacific Rim Real Estate Society Conference

Y2 - 1 January 2010

ER -

An examination of volatility dynamics In Australian REIT futures

Abstract

Conference

Keywords

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