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

Autor:	Ming-Shann Tsai, Chih-Hsun Lin, Sue-Jane Chiang
Rok vydání:	2010
Předmět:	Economics and Econometrics Heteroscedasticity Asia pacific Financial economics Real estate investment trust Autoregressive conditional heteroskedasticity Economics Volatility (finance) Stock market index Finance
Zdroj:	Applied Financial Economics. 20:1397-1400
ISSN:	1466-4305 0960-3107
DOI:	10.1080/09603107.2010.493137
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ca5b0afae4f6e603e4b30d15f658fe05 https://doi.org/10.1080/09603107.2010.493137 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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