A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices

Ming-Shann Tsai, Sue-Jane Chiang and Chih-Hsun Lin

Applied Financial Economics, 2010, vol. 20, issue 17, 1397-1400

Abstract: This study examines some important characters of Real Estate Investment Trusts (REITs) in six Asia-Pacific areas including Australia, Japan, Singapore, Taiwan, Korea and Hong Kong. The results show that volatility behaviours of REITs have Generalized Autoregressive Conditional Heteroscedastic (GARCH) effects; in addition, REITs and stocks have a long term relationship in all markets.

Date: 2010
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DOI: 10.1080/09603107.2010.493137

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