Volatility Transmission in Australian REIT Futures

Chyi Lin Lee

Journal of Real Estate Portfolio Management, 2009, vol. 15, issue 3, 221-238

Abstract: Executive Summary. This study aims to examine the volatility spillover in Australian REIT futures over the study period of 2004–2008. An Exponential-Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model is employed to analyze the volatility series of REIT futures. The results show that REIT 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.

Date: 2009
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DOI: 10.1080/10835547.2009.12089852

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