Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

Mário Nuno Mata, Muhammad Najib Razali, Sónia R. Bentes and Isabel Vieira ()
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Mário Nuno Mata: ISCAL-Instituto Superior de Contabilidade e Administração de Lisboa, Instituto Politécnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, Portugal
Muhammad Najib Razali: Faculty of Built Environment and Surveying, Universiti Teknologi Malaysia, Johor Bahru 81310, Johor, Malaysia
Sónia R. Bentes: Lisbon Accounting and Business School (ISCAL), Lisbon Polytechnic Institute, Avenida Miguel Bombarda 20, 1069-035 Lisbon, Portugal

Mathematics, 2021, vol. 9, issue 12, 1-20

Abstract: 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.

Keywords: volatility; spillovers; Asia; property; portfolio; effect (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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