Download or read book Is There Volatility Convergence in Asia Pacific Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess whether a group of eight Asia-Pacific securitized real estate markets display similar volatility trend over the past 15 years, 1995-2009, using an econometric model that incorporates common volatility effects across the sample markets. The empirical results indicate the presence of at least one common variance component, and thus partial volatility convergence, among the sample Asia real estate securities markets. During the global financial crisis period, some real estate securities markets are co-integrated in both their first and second moments and demonstrate partial price and volatility convergence. Our analysis that focuses in capturing the common roots in the second moment whilst accounting for time-varying variance has important implications for international real estate portfolio investment.

Download or read book Real Estate Return Volatilty and Systematic Risk written by Kim Hiang Liow and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study empirically examines the dynamics of conditional returns, volatility and systematic risk in ten developing and developed real estate markets and two world market indexes (i.e. world real estate and world stock). We find clustering, predictability, strong persistence and asymmetry in country-specific and global market conditional volatility. Moreover, developing real estate markets display higher conditional volatility and persistence than developed markets. The world real estate market volatility has a statistically significant positive impact on time-varying real estate market betas for developing real estate markets of Asia-Pacific, Hong Kong, Singapore and Malaysia, and a statistically significant negative impact on systematic risk for mature real estate markets of Europe and the UK. Additionally, the extra country-specific market volatility and global market volatility during the Asian financial crisis period seem to impose a larger size influence than the volatility during total period in some markets. Based on comparisons of in-sample forecast errors, our findings appear to favor time-varying real estate betas relative to a world real estate index over a world stock index. Our findings have significant implications for understanding real estate market integration and global capital markets.

Download or read book A Wavelet Based Study of Systematic Risk written by Kim Hiang Liow and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the dynamics of real estate local and global betas using a novel approach - wavelet analysis on nine Asia-Pacific and the US public real estate markets from January 1995 to June 2016. Specifically, Wavelets are localized in both time and scale, and can be used to filter data up into different frequency components. We appeal to the continuous wavelet transform to estimate the two real estate betas across the usual three investment horizons (short-run, medium-term and long-run), as well analyze their dynamic causality relations in asset pricing from the time-frequency perspective. The main empirical insight is that both real estate local beta and real estate global beta coefficients have a time-scale tendency in sample real estate markets. Their joint market risk increases in the long-run at both the local and global levels. The causal relationship between the real estate local/global betas of the US and Asian real estate markets is the strongest at longer time horizons. Moreover, there is non-linear causal relationship between real estate global beta and real estate local beta in all three investment horizons, with a strong feedback relationship exists between the two real estate beta measures in the medium-term for 80% of the sample real estate markets. A better understanding regarding the implications for real estate capital market securitization and market integration at the local and international levels has become important because international financial markets have become increasingly interdependent with continuing liberalization of cross-border capital flows.

Download or read book An Examination of the Variation in Equity Market Returns and Volatility in the Asia Pacific Region written by Richard Heaney and published by . This book was released on 1997 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Public Real Estate Markets and Investments written by H. Kent Baker and published by Oxford University Press. This book was released on 2014-08-07 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate is typically classified as an alternative to more traditional investments such as stocks and bonds. Real estate investing involves the purchase, ownership, management, rental, or sale of real estate for profit. Real estate investments can be both income producing and non-income producing. Although real estate can produce income like a bond and appreciate like a stock, this tangible asset has several unique characteristics as well as advantages and disadvantages relative to other investment alternatives. Benefits of including real estate in a portfolio include diversification, yield enhancement, risk reduction, tax management, and inflation hedging. Unlike traditional investments, investors in real estate have the ability to influence performance. Real estate has drawbacks in that it requires management, is costly and difficult to buy, sell, and operate, and sometimes has lower liquidity. Additionally, measuring the relative performance of real estate can be challenging. The purpose of this 14-chapter book is to provide an overview and synthesis of public real estate markets and investments in a global context. The book discusses the major types and the latest trends within public real estate markets and presents the results of research studies in a straightforward manner. It has three sections: (1) foundations of public real estate, (2) public debt markets and investments, and (3) public equity markets and investments. The book should be interest to various groups including academics, practitioners, investors, and students. Readers should gain a greater appreciation of what is needed for success when investing in public real estate markets. For more information about private real estate, read Private Real Estate Markets and Investments.

Download or read book Real Estate Volatility and Economic Stability written by Kyung-hwan Kim and published by . This book was released on 2012 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Convergence of Stock Market Volatility and Performance Characteristics in Asia Latin America and North America written by David Zadak and published by . This book was released on 2006 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Spillovers and Volatility Asymmetries written by Kee-hong Bae and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Co Movements and Systematic Risk of Asian Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US market, from January 12, 1995 through Jun 23, 2016. The empirical results indicate that both the co-movement relationship and sector's systematic risk are time-varying and heterogeneous at different scales. We find that diversification opportunities among the real estate markets are diminishing during the two major crises, as scale increases. Moreover, the systematic risk (beta) coefficients of the real estate markets increase during the global financial crisis period and become more stable at lower frequencies. Finally, local stock market returns provide a better proxy of market portfolio for the domestic real estate markets than global stock returns. Our results highlight the importance of considering both time and scale-varying features in co-movement relationship and systematic risk assessment in Asian securitized real estate markets.

Download or read book Volatility and Causality in Asia Pacific Financial Markets written by Enzo Weber and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the dynamics and transmission of conditional volatilities with multiple structural changes in return volatility using Bai and Perron (2003)'s methodology, across five major securitized real estate markets as well as employing a multivariate regime-dependent asymmetric dynamic covariance methodology (MRDADC) that allows the conditional matrix to be both time- and state-varying. Our results imply that a multiple-regime time varying asymmetric variance and covariance approach is important in modeling real estate securities valuation and selection and portfolio optimization, and is consistent with popular beliefs that market volatility changes over time. Our MRDADC models detect the presence of significant mean-volatility linkages across the five major securitized real estate markets under different volatility regimes and would have implications for global investor in terms of estimating a dynamic risk-minimizing hedge ratio in international portfolio management.

Download or read book Institutional Analysis of Asia Pacific Real Estate Markets written by Jieming Zhou and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Dynamics of Long Memory in Return and Volatility for International Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents an investigation as to whether persistence in international real estate market return and volatility takes the form of long memory using a battery of five econometric tests on total-hedged and public real estate series. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory for some Asia-Pacific real estate markets. Our additional empirical evidence suggest overall the long memory effect in volatility appears to be real and is less likely to be caused by shifts in variance for some Asia-Pacific real estate markets. Hence these national real estate markets are segmented based on a fractionally integrated structure that is able to provide diversification benefits in international investing.

Download or read book Asia Pacific Listed Real Estate written by Alex Moss and published by . This book was released on 2015 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we set out to answer the following questions:• Growth of the market: How has the Asia Pacific market grown relative to the global real estate universe?• Performance analysis: How has the sector performed relative to other regions globally, as well as other asset classes over the cycles? Are there diversification benefits?• Portfolio analysis: Has having exposure to Asian listed real estate improved performance of a global fund? We use the proprietary fund database of Consilia Capital to assess the impact.• Corporate governance: Asian REITs have a different structure to REITs in Australia, the US and Europe. Does this affect performance?• Regulatory changes: Are there potential changes to REIT legislation that could further increase demand?• Market perception: What are some of the issues holding back global investors?

Download or read book Regime Changes and Dynamic Linkages in Major Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is a contribution to the literature in international real estate market volatility dynamics and linkages from an alternative perspective. We analyzes the dynamics and transmission of conditional volatilities with multiple structural changes in mean returns and volatility using the Bai and Perron (2003) methodology, across five major securitized real estate markets, employing a multivariate regime-dependent asymmetric dynamic covariance model (MRDADC) that allows the conditional matrix to be both time- and state-varying. Important contributions of this study are the findings of statistically significant variables that represent the multiple regime changes. When taken into consideration, they influence the return-volatility transmission across markets as well as time-varying asymmetric variances and covariance dynamics in our MRDADC representation.

Download or read book Correlation Dynamics and Determinants in International Securitized Real Estate Markets written by Kim Hiang Liow and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find the correlation movements among eight developed securitized real estate markets and among their stock markets are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many of the realized correlation series subject to regime switching. Moreover, international correlations of public property returns could be significantly explained by five real estate variables that include global real estate securities market volatility, co-existence of REIT influence, underlying direct real estate return performance differential, real estate securities volatility differential and real estate securities market size differential after controlling for macroeconomic influence and stock market effect. The importance of the control and real estate variables in explaining the return correlations varies across the economies examined.

Download or read book Asia Pacific Stock Market Connectedness A Network Approach APEC Study Series 19 01 written by Young Joon Park and published by . This book was released on 2019-11 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: