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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| Format: | Article |
| Language: | English |
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MDPI AG
2021-06-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/12/1418 |
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| author | Mário Nuno Mata Muhammad Najib Razali Sónia R. Bentes Isabel Vieira |
| author_facet | Mário Nuno Mata Muhammad Najib Razali Sónia R. Bentes Isabel Vieira |
| author_sort | Mário Nuno Mata |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-03-10T10:17:42Z |
| format | Article |
| id | doaj.art-8759e47d115444cd95cf1de78b2da4f3 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T10:17:42Z |
| publishDate | 2021-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-8759e47d115444cd95cf1de78b2da4f32023-11-22T00:41:01ZengMDPI AGMathematics2227-73902021-06-01912141810.3390/math9121418Volatility Spillover Effect of Pan-Asia’s Property Portfolio MarketsMário Nuno Mata0Muhammad Najib Razali1Sónia R. Bentes2Isabel Vieira3ISCAL-Instituto Superior de Contabilidade e Administração de Lisboa, Instituto Politécnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, PortugalFaculty of Built Environment and Surveying, Universiti Teknologi Malaysia, Johor Bahru 81310, Johor, MalaysiaLisbon Accounting and Business School (ISCAL), Lisbon Polytechnic Institute, Avenida Miguel Bombarda 20, 1069-035 Lisbon, PortugalDepartamento de Economia, Universidade de Évora and CEFAGE, 7002-554 Évora, PortugalThis 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.https://www.mdpi.com/2227-7390/9/12/1418volatilityspilloversAsiapropertyportfolioeffect |
| spellingShingle | Mário Nuno Mata Muhammad Najib Razali Sónia R. Bentes Isabel Vieira Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets Mathematics volatility spillovers Asia property portfolio effect |
| title | 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_short | Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets |
| title_sort | volatility spillover effect of pan asia s property portfolio markets |
| topic | volatility spillovers Asia property portfolio effect |
| url | https://www.mdpi.com/2227-7390/9/12/1418 |
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