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

Author

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  • Ming-Shann Tsai
  • Sue-Jane Chiang
  • Chih-Hsun Lin

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.

Suggested Citation

  • Ming-Shann Tsai & Sue-Jane Chiang & Chih-Hsun Lin, 2010. "A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 20(17), pages 1397-1400.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:17:p:1397-1400
    DOI: 10.1080/09603107.2010.493137
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    Cited by:

    1. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
    2. Tsai, Ming-Shann & Chiang, Shu-Ling, 2013. "The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets," Economic Modelling, Elsevier, vol. 32(C), pages 91-99.
    3. Chiang, Shu Ling & Tsai, Ming Shann, 2023. "Analyses for the effects of investor sentiment on the price adjustment behaviors for stock market and REIT market," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 425-439.

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