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The Volatility Spillovers in Asian Listed Property Companies in Developed and Emerging Markets

Author/s: Thi Kim Nguyen

Date Published: 1/01/2012

Published in: Volume 18 - 2012 Issue 1 (pages 49 - 65)

Abstract

This paper uses exponential-generalised autoregressive conditional heteroskedasticity (EGARCH) model to examine empirically the volatility spillovers of listed property companies in 13 Asian country markets. The capitalisation-weighted index for 3 tiers of developed markets (Japan, Hong Kong, Singapore), emerging markets (Thailand, Taiwan, Malaysia, Korea) and lesser emerging markets (China, India, Indonesia, Philippines, Sri Lanka, Vietnam) were analysed. The results showed that property companies returns in individual countries have no excessive return compared to the stock index, are more aggressive than the respective local equity indices whilst lagged property companies returns provided little explanatory power in the current property returns. At the tier level, tier 1 determined its stable role in the region with significant spillovers to the other two tiers, and the heteroskedasticity in the tier series whilst tier 3 showed the significant, yet unstable role in the region. The tier 2 countries saw no spillover from the local stocks, yet received some impact from the US market. Tier 3 countries show reducing spillover factors from high spillover (China) to moderate (India and Indonesia) and low spillover (Vietnam, Philippines, and Sri Lanka), which reflects the low integration of these countries to the global market.

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Keywords

Asia - Developed Markets - Emerging Markets - Lesser Emerging Markets - Listed Property Companies - Volatility Spillover

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