Abstract
This study examines the price discovery function and volatility spillovers in Australian real estate investment trust (A-REIT) index futures and also investigates the effects of the global financial crisis (GFC) on these two features. As opposed to the general understanding of the relationship between the cash and the futures markets, the current study finds that the A-REIT cash market led the A-REIT futures market in price discovery and volatility transmission processes before the GFC. However, during the GFC, the two markets interacted bilaterally in terms of information flow, i.e., information flowed in both directions. Furthermore, after the GFC, the futures market followed the cash market again, but less closely. These findings have broad implications for investors in property assets.
| Original language | English |
|---|---|
| Pages (from-to) | 113-129 |
| Number of pages | 17 |
| Journal | International Journal of Strategic Property Management |
| Volume | 20 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2016 |
Open Access - Access Right Statement
Copyright © 2019 The Author(s). Published by VGTU Press. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.Keywords
- Global Financial Crisis_2008, 2009
- futures
- real estate investment trusts
- volatility