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Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market

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  • He, Chi-Wei
  • Chang, Kuang-Liang
  • Wang, Yung-Jang

Abstract

This paper investigates the impact of the jump risk of the US REIT market on the volatility dynamics for the REIT markets of Japan and Hong Kong, and devises a novelty bivariate jump framework that can distinguish between the systematic jump risk and idiosyncratic jump risk. The empirical results show that the volatilities for the REIT markets of Japan and Hong Kong are affected by both the idiosyncratic jump risk and the systematic jump risk of the US market, and that the contribution of the systematic jump risk is more important than the idiosyncratic jump risk.

Suggested Citation

  • He, Chi-Wei & Chang, Kuang-Liang & Wang, Yung-Jang, 2020. "Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s154461231830761x
    DOI: 10.1016/j.frl.2019.07.011
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    Cited by:

    1. Jiqian Wang & Rangan Gupta & Oğuzhan Çepni & Feng Ma, 2023. "Forecasting international REITs volatility: the role of oil-price uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 29(14), pages 1579-1597, September.
    2. Huang, Chuangxia & Zhao, Xian & Deng, Yunke & Yang, Xiaoguang & Yang, Xin, 2022. "Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 81-94.

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    More about this item

    Keywords

    Securitized real estate markets; Systematic jump risk; Idiosyncratic jump risk;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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